Convex Optimization in R, by Roger Koenker, is an overview of implementations of convex optimization in R. It includes many commonly optimal problem for statistical models, such as linear regression, lasso, quantile regression etc..
I will focus on several topics:
- How to minimize the time of mastering convex optimization?
- How to change lasso to a convex optimal problem, and solve it by the package
Rmosek? - What can we do with package 'Rmosek`?