README.md

KNITRO

This is a proof of concept interface between R and knitro. The goal for the proof of concept is to enable users to express the code from this page entirely in R.

demo/knitro.R contains a demo.

Installation

This package does not contain knitro, so you have to install your own copy and deal with licences as you would normally do.

Currently, the package uses an environment variable KNITRO to locate a directory where it will find knitro's include and lib directory. Make sure this variable is set and points to the correct directory.

For example, I have this in my ~/.bash_profile:

export KNITRO=/Users/romain/knitro
DYLD_LIBRARY_PATH=$KNITRO/lib
export DYLD_LIBRARY_PATH

Callbacks

The KNITRO R package currently supports R functions as callbacks. For example the function below can be used as a callback.

fun <- function(evalRequestCode, n, m, nnzJ, nnzH,x,lambda,obj,c,objGrad,jac,hessian,hessVector){
  if (evalRequestCode != KTR_RC_EVALFC)
    stop("Wrong evalRequestCode in callback function.");

  # objective function
  obj <- 1000 - x[1]*x[1] - 2*x[2]*x[2] - x[3]*x[3] - x[1]*x[2] - x[1]*x[3]

  # constraints
  c <- c(
    8*x[1] + 14*x[2] + 7*x[3] - 56, 
    x[1]*x[1] + x[2]*x[2] + x[3]*x[3] - 25
  )

  list( obj = obj, c = c )
}

The internal code of the package checks that the function supplied as a callback has precisely these arguments, in the same order.

If changes are made to the arguments, they must be returned as a list. In this example, changes are made to obj and c.



romainfrancois/KNITRO documentation built on May 25, 2017, 8:39 a.m.