Summary: CVX-R: Disciplined convex programming in R

Description: Convex optimization problems represent a class of optimization problems that can be solved efficiently and reliably. They include least-squares and linear programming problems. Surprisingly many problems can be solved via convex programming, though it is often difficult to recognize their convexity or to transform them into a convex form.

There is a free, GPLed software package, CVXOPT, for convex optimization distributed as a Python module. Several modeling tools have been built on top of it such as CVXMOD for Python. CVX for Matlab has similar goals but uses different solvers. The goal of this GSoC project will be to do a similar implementation with R and thus develop an R package for Disciplined Convex Programming (DCP) like CVX and CVXMOD.

The possible approaches for developing a modeling language:

The developers of CVXOPT have several times indicated an interest in porting their work to R, so they shall be willing to give some support to the project. UPDATE 15 Nov 2011: TDH got several emails today from the Stanford people including Stephen Boyd, Balasubramanian Narasimhan, and Michael Grant that confirmed their interest in helping develop a DCP package for R.

Also, there are pages on the Web showing how to solve problems from the book “Convex Optimization” by Boyd and Vandenberghe with CVXOPT. These examples could be used to write a vignette for the package.

Skills required: Some knowledge of R and its package building features; experience with programming in Python and/or C and/or Matlab; background or strong interest in mathematical optimization.

Test: Select two or three convex optimization problems from the literature, solve them with CVXOPT/CVXMOD in Python (and maybe with CVX in Matlab); try to solve them with one of the optimization packages in R.

Mentor: There will be one mentor for each of the two sides of things one from R and one from the disciplined convex programming.

R side: Hans W. Borchers with support from Stefan Theussl, the maintainer of the CRAN Task View on Optimization, who will assist in R/Python programming related questions.

CVX side: Eric Chu will mentor the convex optimization part.

developers/projects/gsoc2011/convex_optimization.txt · Last modified: 2012/03/12 by rhochreiter
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