TY - UNPB
T1 - ROI: The R Optimization Infrastructure Package
AU - Theußl, Stefan
AU - Schwendinger, Florian
AU - Hornik, Kurt
PY - 2017
Y1 - 2017
N2 - Optimization plays an important role in many methods routinely used in statistics, machine learning and data science. Often, implementations of these methods rely on highly specialized (non-reusable) optimization algorithms. However, in many instances recent advances, in particular in the field of convex optimization, make it possible to conveniently and straightforwardly use modern solvers (reusable) instead with the advantage of enabling broader usage scenarios and thus promoting reusability. This paper introduces the ROI (R Optimization Infrastructure) package which provides an extensible infrastructure to model linear, quadratic, conic and general nonlinear optimization problems in a consistent way. Furthermore, the infrastructure administers many different solvers, reformulations, problem collections and functions to read and write optimization problems in various formats.
AB - Optimization plays an important role in many methods routinely used in statistics, machine learning and data science. Often, implementations of these methods rely on highly specialized (non-reusable) optimization algorithms. However, in many instances recent advances, in particular in the field of convex optimization, make it possible to conveniently and straightforwardly use modern solvers (reusable) instead with the advantage of enabling broader usage scenarios and thus promoting reusability. This paper introduces the ROI (R Optimization Infrastructure) package which provides an extensible infrastructure to model linear, quadratic, conic and general nonlinear optimization problems in a consistent way. Furthermore, the infrastructure administers many different solvers, reformulations, problem collections and functions to read and write optimization problems in various formats.
UR - http://statmath.wu.ac.at/
U2 - 10.57938/08a09f34-9a68-42ad-9218-0bbaa624cc61
DO - 10.57938/08a09f34-9a68-42ad-9218-0bbaa624cc61
M3 - WU Working Paper
T3 - Research Report Series / Department of Statistics and Mathematics
BT - ROI: The R Optimization Infrastructure Package
ER -