CVXR provides an object-oriented modeling language for convex
optimization, similar to CVX, CVXPY, YALMIP, and Convex.jl. It
allows the user to formulate convex optimization problems in a natural
mathematical syntax rather than the restrictive standard form required
by most solvers. The user specifies an objective and set of constraints
by combining constants, variables, and parameters using a library of
functions with known mathematical properties. CVXR then applies signed
disciplined convex programming
(DCP) to
verify the problem’s convexity. Once verified, the problem is converted
into standard conic form using graph implementations and passed to a
cone solver such as ECOS or
SCS.
CVXR includes several open source solvers in addition to the default ECOS and SCS. Recent versions (0.97+) also include support for commercial solvers such as MOSEK and GUROBI.
This package is now released on CRAN, so you can install the current
released version as you would any other package for R, version 3.4 and
higher. (CVXR is known to work with earlier versions of R too, but we
don’t check our releases against older versions of R.)
install.packages('CVXR', repos = "https://cloud.r-project.org")Development versions can be installed from the Github repository assuming you have the development tools for R available, including the C compilers etc. Execute:
library(devtools)
install_github("anqif/CVXR")A number of tutorial examples are available on the CVXR website.