As far as I know, the reference describing the algorithm is: A. Wächter and L. T. Biegler. On the implementation of a primal-dual interior point filter line search algorithm for large-scale nonlinear programming. Mathematical Programming, 106(1):25-57, 2006.
There are more references here: http://www.coin-or.org/Ipopt/documentation/node205.html I wouldn't mind putting the interface on CRAN, except that I don't know how that would work, since compilation of Ipopt is not straightforward (due to dependencies). There are some pre-compiled libraries of Ipopt available, but I haven't tried these. On Windows and Linux I successfully installed Ipopt and the R interface from source. Ideas on how to make the installation process easier for users are very welcome! Jelmer On Wed, Jul 7, 2010 at 17:23, Christophe Dutang <duta...@gmail.com> wrote: > Thank you Jelmer, > > I have just spent five minutes on the website, but I'm not sure to > understand which method is implemented. Is it this method? > On the Implementation of a Primal-Dual Interior Point Filter Line Search > Algorithm for Large-Scale Nonlinear Programming > > Do you plan to put lpopt on CRAN? I'm willing to test it! > > Christophe > > 2010/7/7 Jelmer Ypma <jelmery...@gmail.com> >> >> Hi Christophe, >> >> I wrote an R interface to Ipopt ( https://projects.coin-or.org/Ipopt >> ), which does non-linear constrained optimization for very large >> problems. Would this be of interest to you? It took some time to find >> out which license I could use to distribute it, but I'm planning to >> make it publicly available this weekend. >> >> Jelmer >> >> On Wed, Jul 7, 2010 at 13:01, Christophe Dutang <duta...@gmail.com> wrote: >> > Dear list, >> > >> > The task view on optimization does not reference a package for non >> > linear >> > constrained optimization problems. Stefan Theussl told me to look at the >> > Rsolnp package, but unfortunately it is not very clear what method is R >> > ported. (The authors ported the matlab code of Yinyu Ye >> > http://www.stanford.edu/~yyye/ <http://www.stanford.edu/%7Eyyye/>) >> > >> > Currently I'm looking for an implementation of sequential quadratic >> > programming to replicate SNOPT*. A good reference I found on the web is >> > this >> > booklet >> > >> > http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/5456/pdf/imm5456.pdf . >> > >> > Does anyone know an implementation of such algorithms? Is there any >> > fortran >> > implementation available useful if I have to implement it? >> > >> > Thanks in advance >> > >> > Christophe >> > >> > >> > * SNOPT: An SQP Algorithm For Large-Scale Constrained Optimization >> > (1997) by >> > Philip E. Gill , Walter Murray , Michael , Michael A. Saunders >> > -- >> > Christophe DUTANG >> > Ph. D. student at ISFA, Lyon, France >> > >> > [[alternative HTML version deleted]] >> > >> > ______________________________________________ >> > R-devel@r-project.org mailing list >> > https://stat.ethz.ch/mailman/listinfo/r-devel >> > > > > > -- > Christophe DUTANG > Ph. D. student at ISFA, Lyon, France > ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel