CRAN Task View: Optimization and Mathematical Programming

Maintainer:Stefan Theussl
Contact:Stefan.Theussl at R-Project.org
Version:2014-08-08

This CRAN task view contains a list of packages which offer facilities for solving optimization problems. Although every regression model in statistics solves an optimization problem they are not part of this view. If you are looking for regression methods, the following views will contain useful starting points: Multivariate, SocialSciences, Robust among others. The focus of this task view is on Optimization Infrastructure Packages , General Purpose Continuous Solvers , Mathematical Programming Solvers and Specific Applications in Optimization . Packages are categorized in these three sections.

Many packages provide functionality for more than one of the subjects listed at the end of this task view. E.g., mixed integer linear programming solvers typically offer standard linear programming routines like the simplex algorithm. Therefore following each package description a list of abbreviations describes the typical features of the optimizer (i.e., the problems which can be solved). The full names of the abbreviations given in square brackets can be found at the end of this task view under Classification According to Subject .

If you think that some package is missing from the list, please let me know.

Optimization Infrastructure Packages

General Purpose Continuous Solvers

Mathematical Programming Solvers

This section provides an overview of open source as well as commercial optimizers. Which type of mathematical programming problem can be solved by a certain package or function can be seen from the abbreviations in square brackets. For a classification by subject see the list at the end of this task view.

Interfaces to Open Source Optimizers

Interfaces to Commercial Optimizers

This section surveys interfaces to commercial solvers. Typically, the corresponding libraries have to be installed separately.

Specific Applications in Optimization

Classification According to Subject

What follows is an attempt to provide a by-subject overview of packages. The full name of the subject as well as the corresponding MSC 2010 code (if available) are given in brackets.

CRAN packages:

Related links: