Mixed Integer Linear Programming in R

  • Stefan Theußl (Speaker)

Activity: Talk or presentationScience to science

Description

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