Rcpp module: CPG

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Description

Module for defining and solving convex programs.

Details

The module contains the following items: classes:

CONEC

Class for inequality (cone) constraints.

CTRL

Class for control parameters used in optimizations.

PDV

Class for primal/dual variables.

DCP

Class for definition of convex programs.

DLP

Class for definition of linear programs.

DNL

Class for definition of linear programs with non-linear constraints.

DQP

Class for definition of quadratic programs.

CPS

Class for solution of convex programs.

functions:

rpp

Function for solving risk parity portfolios.

gpp

Function for solving a geometric program.