README.md

In ChandlerLutz/ipopCpp: Rcpp implementation of Quadratic Problem Solver

Rcpp implementation of the kernlab::ipop() function

Instillation:

library(devtools)
install_github("ChandlerLutz/ipopCpp")

Examples:

##Comparison to kernlab::ipop()
library(kernlab)
## solve the Support Vector Machine optimization problem
data(spam)
## sample a scaled part (500 points) of the spam data set
m <- 500
set <- sample(1:dim(spam)[1],m)
x <- scale(as.matrix(spam[,-58]))[set,]
y <- as.integer(spam[set,58])
y[y==2] <- -1
##set C parameter and kernel
C <- 5
rbf <- rbfdot(sigma = 0.1)
## create H matrix etc.
H <- kernelPol(rbf,x,,y)
c <- matrix(rep(-1,m))
A <- t(y)
b <- matrix(0)
l <- matrix(rep(0,m))
u <- matrix(rep(C,m))
r <- matrix(0)
sv <- ipop(c,H,A,b,l,u,r)
sv2 <- ipopCpp(c,H,A,b,l,u,r)
all.equal(ipop(c,H,A,b,l,u,r)@primal, as.numeric(ipopCpp(c,H,A,b,l,u,r)$primal))
all.equal(ipop(c,H,A,b,l,u,r)@dual, as.numeric(ipopCpp(c,H,A,b,l,u,r)$dual))

ChandlerLutz/ipopCpp documentation built on May 6, 2019, 9:56 a.m.