mathprog-LP: Mathematical Linear Programming

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Mathematical Linear Programming

Description

Mathematical Linear Programming.

Usage

rsolveLP(objective, lower=0, upper=1, linCons, 
    control=list(solver="glpk", invoke=c("R", "AMPL", "NEOS")))

rglpkLP(objective, lower=0, upper=1, linCons, control=list())
glpkLP
glpkLPControl(solver = "glpk", project="r", trace=FALSE) 

rsymphonyLP(objective, lower=0, upper=1, linCons, control=list())
symphonyLP
symphonyLPControl(solver="symphony", project="r", trace=FALSE) 

ramplLP(objective, lower = 0, upper = 1, linCons, control=list()) 
amplLP(objective, x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list())
amplLPControl(solver="ipopt", project="ampl", inf=1e12, trace=FALSE) 
    
rneosLP(objective, lower = 0, upper = 1, linCons, control=list()) 
neosLP(objective, x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list())
neosLPControl(solver="ipopt", category="lp", project="neos", 
    inf=1e12, trace=FALSE) 

Arguments

objective	a numeric vector.
lower, upper	lower and upper bounds.
linCons	list of linear constraints: mat, lower, upper.
control	control list.
x_L, x_U	lower and upper box bounds.
A	linear constraints matrix.
b_L, b_U	lower and upper linear constraints bounds.
solver	a character string, the solver name.
category	a character string, the NEOS category name.
project	a character string, the AMPL project name.
inf	a numeric value, the maximum value used for bounds.
trace	a logical flag, if TRUE the optimization will be traced.

Value

a list of class solver with the following named ebtries: opt, solution, objective, status, message, solver, version.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on Jan. 14, 2024, 8:21 p.m.