README.md

In fnoorian/quadprogpp: Quick Quadratic Programming Solver in C++

quadprogpp: Fast Quadratic Programming for R

This package provides a fast Quadratic Programming solver implementation in R. It wraps eiquadprog C++ library, an Eigen fork of QuadProg++, with RcppEigen R package.

Installation

The easiest way to install is to use devtools github installer.

if (!(require("devtools"))) install.packages("devtools")
devtools::install_github("fnoorian/quadprogpp")

On Windows, you may need Rtools to compile its C++ part.

Speed-up

A speed-up of 3x to 5x compared to package quadprog (a Fortran implementation) was observed.

See the benchmark in the package demos:

demo("benchmark", "quadprogpp")

Example

See this example.

Implementation Details

eiquadprog is a modified version of uQuadProg++ library, working with Eigen linear algebra template library's data structures. See http://www.labri.fr/perso/guenneba/code/QuadProg/. Copyright (2011) Benjamin Stephens and (2010) Gael Guennebaud.

uQuadProg++ is itself a port made by Angelo Furfaro of QuadProg++ originally developed by Luca Di Gaspero, working with ublas data structures. See http://www.diegm.uniud.it/digaspero/index.php?page=software. Copyright (2008) Angelo Furfaro and (2006) Luca Di Gaspero.

References:

D. Goldfarb, A. Idnani. A numerically stable dual method for solving strictly convex quadratic programs. Mathematical Programming 27 (1983) pp. 1-33.

License

All files in this package are free software; you can redistribute them and/or modify them under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version.

These files are distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with these files; if not, write to the Free Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA, or visit https://www.gnu.org/licenses/gpl-2.0.html.

fnoorian/quadprogpp documentation built on Nov. 15, 2020, 5:04 a.m.