Mixed Integer Linear Programming in R

  • Stefan Theußl (Speaker)

Activity: Talk or presentationScience to science


Since the seminal work of Markowitz optimal stock selection is routinely used by portfolio managers. The underlying optimization problem can be solved using quadratic pro-
gramming methods. Recent developments show that there is an increasing interest to deal with these optimization problems using R.
The Computational Infrastructure for Operations Research (COIN-OR) initiative offers several open source projects in the area of optimization. In this talk we present COIN-OR
including a selection of its projects. Furthermore, we give an overview of interfaces to mixed integer linear programming (MILP) solvers like COIN-OR SYMPHONY available in R. Finally, we present results of a benchmark experiment comparing the presented MILP solvers.
Period28 Jun 20082 Jul 2008
Event titleRmetrics Workshop
Event typeUnknown
Degree of RecognitionInternational