Package 'ROI'

Description

Canonicalize the linear term of a linear constraint. Objects from the following classes can be canonicalized: "NULL", "numeric", "matrix", "simple_triplet_matrix" and "list".

Usage

as.L_term(x, ...)

Arguments

Details

In the case of lists "as.Q_term" is applied to every element of the list, for NULL one can supply the optional arguments "nrow" and "ncol" which will create a "simple_triplet_zero_matrix" with the specified dimension.

Value

an object of class "simple_triplet_matrix"

Description

Canonicalize the quadraric term of a quadratic constraint. Objects from the following classes can be canonicalized: "NULL", "numeric", "matrix", "simple_triplet_matrix" and "list".

Usage

as.Q_term(x, ...)

## S3 method for class 'list'
as.Q_term(x, ...)

## S3 method for class 'numeric'
as.Q_term(x, ...)

## S3 method for class 'matrix'
as.Q_term(x, ...)

## S3 method for class 'simple_triplet_matrix'
as.Q_term(x, ...)

## S3 method for class ''NULL''
as.Q_term(x, ...)

Arguments

Details

In the case of lists "as.Q_term" is applied to every element of the list, for NULL one can supply the optional arguments "nrow" and "ncol" which will create a "simple_triplet_zero_matrix" with the specified dimension.

Value

an object of class "simple_triplet_matrix"

Description

ROI distinguishes between 2 different types of bounds:

• No Bounds NO_bound

• Variable Bounds V_bound (inherits from "bound")

Usage

## S3 method for class 'bound'
c(...)

is.bound(x)

Arguments

Details

ROI provides the method V_bound as constructor for variable bounds. NO_bound is not explicitly implemented but represented by NULL.

Description

The bounds of a given optimization problem (OP) can be accessed or mutated via the method 'bounds'.

Usage

bounds(x)

## S3 method for class 'OP'
bounds(x)

bounds(x) <- value

Arguments

Value

the extracted bounds object on get and the altered 'OP' object on set.

Examples

## Not run: 
lp_obj <- L_objective(c(1, 2))
lp_con <- L_constraint(c(1, 1), dir="==", rhs=2)
lp_bound <- V_bound(ui=1:2, ub=c(3, 3))
lp <- OP(objective=lp_obj, constraints=lp_con, bounds=lp_bound, maximum=FALSE)
bounds(lp)
x <- ROI_solve(lp)
x$objval
x$solution
bounds(lp) <- V_bound(ui=1:2, ub=c(1, 1))
y <- ROI_solve(lp)
y$objval
y$solution

## End(Not run)

Description

Conic constraints are often written in the form

$Lx + s = rhs$

where $L$ is a $m \times n$ (sparse) matrix and $s \in \mathcal{K}$ are the slack variables restricted to some cone $\mathcal{K}$ which is typically the product of simpler cones $\mathcal{K} = \prod \mathcal{K}_i$. The right hand side $rhs$ is a vector of length $m$.

Usage

C_constraint(L, cones, rhs, names = NULL)

as.C_constraint(x, ...)

is.C_constraint(x)

## S3 method for class 'C_constraint'
length(x)

## S3 method for class 'C_constraint'
variable.names(object, ...)

## S3 method for class 'C_constraint'
terms(x, ...)

Arguments

Value

an object of class "C_constraint" which inherits from "constraint".

Examples

## minimize:  x1 + x2 + x3
## subject to: 
##   x1 == sqrt(2)
##   ||(x2, x3)|| <= x1
x <- OP(objective = c(1, 1, 1), 
        constraints = C_constraint(L = rbind(rbind(c(1, 0, 0)), 
                                             diag(x=-1, 3)), 
                                   cones = c(K_zero(1), K_soc(3)), 
                                   rhs = c(sqrt(2), rep(0, 3))), 
        types = rep("C", 3),
        bounds =  V_bound(li = 1:3, lb = rep(-Inf, 3)), maximum = FALSE)

Description

ROI distinguishes between 5 different types of constraint:

• No Constraint NO_constraint (inherits from "constraint")

• Linear Constraint L_constraint (inherits from "constraint")

• Quadratic Constraint Q_constraint (inherits from "constraint")

• Conic Constraint C_constraint (inherits from "constraint")

• Function Constraint F_constraint (inherits from "constraint")

Usage

## S3 method for class 'constraint'
c(..., recursive = FALSE)

as.constraint(x)

is.constraint(x)

## S3 method for class 'constraint'
dim(x)

Arguments

Description

The utility functions eq, leq and geq replicate the signs "==", ">=" and "<=" n times.

Usage

eq(n)

leq(n)

geq(n)

Arguments

Examples

eq(3)
leq(2)
geq(4)

Description

The constraints of a given optimization problem (OP) can be accessed or mutated via the method 'constraints'.

Usage

constraints(x)

## S3 method for class 'OP'
constraints(x)

constraints(x) <- value

Arguments

Value

the extracted constraints object.

Author(s)

Stefan Theussl

Examples

## minimize: x + 2 y
## subject to: x + y >= 1
## x, y >= 0
x <- OP(1:2)
constraints(x) <- L_constraint(c(1, 1), ">=", 1)
constraints(x)

Description

The utility function equal can be used to compare two ROI objects and is mainly used for testing purposes.

Usage

equal(x, y, ...)

## S3 method for class ''NULL''
equal(x, y, ...)

## S3 method for class 'logical'
equal(x, y, ...)

## S3 method for class 'integer'
equal(x, y, ...)

## S3 method for class 'numeric'
equal(x, y, ...)

## S3 method for class 'character'
equal(x, y, ...)

## S3 method for class 'list'
equal(x, y, ...)

## S3 method for class 'simple_triplet_matrix'
equal(x, y, ...)

## S3 method for class 'L_constraint'
equal(x, y, ...)

## S3 method for class 'Q_constraint'
equal(x, y, ...)

## S3 method for class 'V_bound'
equal(x, y, ...)

Arguments

Value

TRUE if x and y are equal FALSE otherwise.

Examples

## compare numeric values
equal(1e-4, 1e-5, tol=1e-3)
## L_constraint
lc1 <- L_constraint(diag(1), dir=c("=="), rhs=1)
lc2 <- L_constraint(diag(2), dir=c("==", "<="), rhs=1:2)
equal(lc1, lc1)
equal(lc1, lc2)

Description

Function (or generally speaking nonlinear) constraints are typically of the form

$f(x) \leq b$

where $f()$ is a well-defined R function taking the objective variables $x$ (typically a numeric vector) as arguments. $b$ is called the right hand side of the constraints.

Usage

F_constraint(F, dir, rhs, J = NULL, names = NULL)

## S3 method for class 'F_constraint'
variable.names(object, ...)

is.F_constraint(x)

as.F_constraint(x, ...)

## S3 method for class ''NULL''
as.F_constraint(x, ...)

## S3 method for class 'NO_constraint'
as.F_constraint(x, ...)

## S3 method for class 'constraint'
as.F_constraint(x, ...)

## S3 method for class 'F_constraint'
terms(x, ...)

Arguments

Value

an object of class "F_constraint" which inherits from "constraint".

Author(s)

Stefan Theussl

Description

General objective function $f(x)$ to be optimized.

Usage

F_objective(F, n, G = NULL, H = NULL, names = NULL)

## S3 method for class 'F_objective'
terms(x, ...)

as.F_objective(x)

## S3 method for class 'F_objective'
variable.names(object, ...)

Arguments

Value

an object of class "F_objective" which inherits from "objective".

Author(s)

Stefan Theussl

Description

Extract the gradient from its argument (typically a ROI object of class "objective").

Usage

G(x, ...)

Arguments

Details

By default ROI uses the "grad" function from the numDeriv package to derive the gradient information. An alternative function can be provided via "ROI_options". For example ROI_options("gradient", myGrad) would tell ROI to use the function "myGrad" for the gradient calculation. The only requirement to the function "myGrad" is that it has the argument "func" which takes a function with a scalar real result.

Value

a "function".

Examples

## Not run: 
   f <- function(x) {
       return( 100 * (x[2] - x[1]^2)^2 + (1 - x[1])^2 )
   }
   x <- OP( objective = F_objective(f, n=2L), 
            bounds = V_bound(li=1:2, ui=1:2, lb=c(-3, -3), ub=c(3, 3)) )
   G(objective(x))(c(0, 0)) ## gradient numerically approximated by numDeriv


   f.gradient <- function(x) {
       return( c( -400 * x[1] * (x[2] - x[1] * x[1]) - 2 * (1 - x[1]),
                   200 * (x[2] - x[1] * x[1])) )
   }
   x <- OP( objective = F_objective(f, n=2L, G=f.gradient), 
            bounds = V_bound(li=1:2, ui=1:2, lb=c(-3, -3), ub=c(3, 3)) )
   G(objective(x))(c(0, 0)) ## gradient calculated by f.gradient

## End(Not run)

Description

tests if the given object is an variable bound which represents default values only (i.e., all lower bounds are 0 and all upper bounds as Inf).

Usage

is.default_bound(x)

Arguments

Value

a logical of length one indicating wether default bounds are given

Description

Derive the Jacobian for a given constraint.

Usage

J(x, ...)

## S3 method for class 'L_constraint'
J(x, ...)

## S3 method for class 'Q_constraint'
J(x, ...)

Arguments

Value

a list of functions

Examples

L <- matrix(c(3, 4, 2, 2, 1, 2, 1, 3, 2), nrow=3, byrow=TRUE)
lc <- L_constraint(L = L, dir = c("<=", "<=", "<="), rhs = c(60, 40, 80))
J(lc)

Description

Constructor functions for the different cone types. Currently ROI supports eight different types of cones.

• Zero cone

  $\mathcal{K}_{\mathrm{zero}} = \{0\}$

• Nonnegative (linear) cone

  $\mathcal{K}_{\mathrm{lin}} = \{x|x \geq 0 \}$

• Second-order cone

  $\mathcal{K}_{\mathrm{soc}} = \left\{(t, x) \ | \ ||x||_2 \leq t, x \in R^n, t \in R \right\}$

• Positive semidefinite cone

  $\mathcal{K}_{\mathrm{psd}} = \left\{ X \ | \ min(eig(X)) \geq 0, \ X = X^T, \ X \in R^{n \times n} \right\}$

• Exponential cone

  $\mathcal{K}_{\mathrm{expp}} = \left\{(x,y,z) \ | \ y e^{\frac{x}{y}} \leq z, \ y > 0 \right\}$

• Dual exponential cone

  $\mathcal{K}_{\mathrm{expd}} = \left\{(u,v,w) \ | \ -u e^{\frac{v}{u}} \leq e w, u < 0 \right\}$

• Power cone

  $\mathcal{K}_{\mathrm{powp}} = \left\{(x,y,z) \ | \ x^\alpha * y^{(1-\alpha)} \geq |z|, \ x \geq 0, \ y \geq 0 \right\}$

• Dual power cone

  $\mathcal{K}_{\mathrm{powd}} = \left\{ (u,v,w) \ | \ \left(\frac{u}{\alpha}\right)^\alpha * \left(\frac{v}{(1-\alpha)}\right)^{(1-\alpha)} \geq |w|, \ u \geq 0, \ v \geq 0 \right\}$

Usage

K_zero(size)

K_lin(size)

K_soc(sizes)

K_psd(sizes)

K_expp(size)

K_expd(size)

K_powp(alpha)

K_powd(alpha)

Arguments

Examples

K_zero(3) ## 3 equality constraints
K_lin(3)  ## 3 constraints where the slack variable s lies in the linear cone

Description

Linear constraints are typically of the form

$Lx \leq rhs$

where $L$ is a $m \times n$ (sparse) matrix of coefficients to the objective variables $x$ and the right hand side $rhs$ is a vector of length $m$.

Usage

L_constraint(L, dir, rhs, names = NULL)

## S3 method for class 'L_constraint'
variable.names(object, ...)

as.L_constraint(x, ...)

is.L_constraint(x)

## S3 method for class 'L_constraint'
length(x)

## S3 method for class 'L_constraint'
terms(x, ...)

Arguments

Value

an object of class "L_constraint" which inherits from "constraint".

Author(s)

Stefan Theussl

Description

A linear objective function is typically of the form

$c^\top x$

where $c$ is a (sparse) vector of coefficients to the $n$ objective variables $x$.

Usage

L_objective(L, names = NULL)

## S3 method for class 'L_objective'
terms(x, ...)

as.L_objective(x)

## S3 method for class 'L_objective'
variable.names(object, ...)

Arguments

Value

an object of class "L_objective" which inherits from "Q_objective" and "objective".

Author(s)

Stefan Theussl

Description

The maximum of a given optimization problem (OP) can be accessed or mutated via the method 'maximum'. If 'maximum' is set to TRUE the OP is maximized, if 'maximum' is set to FALSE the OP is minimized.

Usage

maximum(x)

maximum(x) <- value

Arguments

Value

a logical giving the direction.

Examples

## maximize: x + y
## subject to: x + y <= 2
## x, y >= 0
x <- OP(objective = c(1, 1), 
        constraints = L_constraint(L = c(1, 1), dir = "<=", rhs = 2),
        maximum = FALSE)
maximum(x) <- TRUE
maximum(x)

Description

This function was contributed by Diethelm Wuertz.

Usage

nlminb2(
  start,
  objective,
  eqFun = NULL,
  leqFun = NULL,
  lower = -Inf,
  upper = Inf,
  gradient = NULL,
  hessian = NULL,
  control = list()
)

Arguments

Value

list()

Author(s)

Diethelm Wuertz

Examples

## Equal constraint function
eval_g0_eq <- function( x, params = c(1,1,-1)) {
       return( params[1]*x^2 + params[2]*x + params[3] )
   }
eval_f0 <- function( x, ... ) {
       return( 1 )
   }

Description

In case the constraints slot in the problem object is NULL the return value of a call of constraints() will return an object of class "NO_constraint" which inherits from "L_constraint".

Usage

NO_constraint(n_obj)

as.NO_constraint(x, ...)

is.NO_constraint(x)

Arguments

Value

an object of class "NO_constraint" which inherits from "L_constraint" and "constraint".

Author(s)

Stefan Theussl

Description

The objective of a given optimization problem (OP) can be accessed or mutated via the method 'objective'.

Usage

objective(x)

objective(x) <- value

as.objective(x)

Arguments

Value

a function inheriting from "objective".

Author(s)

Stefan Theussl

Examples

x <- OP()
objective(x) <- 1:3

Description

Optimization problem constructor

Usage

OP(objective, constraints, types, bounds, maximum = FALSE)

as.OP(x)

Arguments

Value

an object of class "OP".

Author(s)

Stefan Theussl

References

Theussl S, Schwendinger F, Hornik K (2020). 'ROI: An Extensible R Optimization Infrastructure.' Journal of Statistical Software_, *94*(15), 1-64. doi: 10.18637/jss.v094.i15 (URL: https://doi.org/10.18637/jss.v094.i15).

Examples

## Simple linear program.
## maximize:   2 x_1 + 4 x_2 + 3 x_3
## subject to: 3 x_1 + 4 x_2 + 2 x_3 <= 60
##             2 x_1 +   x_2 +   x_3 <= 40
##               x_1 + 3 x_2 + 2 x_3 <= 80
##               x_1, x_2, x_3 are non-negative real numbers

LP <- OP( c(2, 4, 3),
          L_constraint(L = matrix(c(3, 2, 1, 4, 1, 3, 2, 2, 2), nrow = 3),
                       dir = c("<=", "<=", "<="),
                       rhs = c(60, 40, 80)),
          max = TRUE )
LP

## Simple quadratic program.
## minimize: - 5 x_2 + 1/2 (x_1^2 + x_2^2 + x_3^2)
## subject to: -4 x_1 - 3 x_2       >= -8
##              2 x_1 +   x_2       >=  2
##                    - 2 x_2 + x_3 >=  0

QP <- OP( Q_objective (Q = diag(1, 3), L = c(0, -5, 0)),
          L_constraint(L = matrix(c(-4,-3,0,2,1,0,0,-2,1),
                                  ncol = 3, byrow = TRUE),
                       dir = rep(">=", 3),
                       rhs = c(-8,2,0)) )
QP

Description

Takes an object of class "OP" (optimization problem) and returns the signature of the optimization problem.

Usage

OP_signature(x)

Arguments

Value

A data.frame giving the signature of the the optimization problem.

Description

Quadratic constraints are typically of the form

$\frac{1}{2}x^{\top}Q_ix + L_i x \leq rhs_i$

where $Q_i$ is the $i$th of $m$ (sparse) matrices (all of dimension $n \times n$) giving the coefficients of the quadratic part of the equation. The $m \times n$ (sparse) matrix $L$ holds the coefficients of the linear part of the equation and $L_i$ refers to the $i$th row. The right hand side of the constraints is represented by the vector $rhs$.

Usage

Q_constraint(Q, L, dir, rhs, names = NULL)

## S3 method for class 'Q_constraint'
variable.names(object, ...)

as.Q_constraint(x)

is.Q_constraint(x)

## S3 method for class 'Q_constraint'
length(x)

## S3 method for class 'Q_constraint'
terms(x, ...)

Arguments

Value

an object of class "Q_constraint" which inherits from "constraint".

Author(s)

Stefan Theussl

Description

A quadratic objective function is typically of the form

$\frac{1}{2} x^\top Qx + c^\top x$

where $Q$ is a (sparse) matrix defining the quadratic part of the function and $c$ is a (sparse) vector of coefficients to the $n$ defining the linear part.

Usage

Q_objective(Q, L = NULL, names = NULL)

## S3 method for class 'Q_objective'
terms(x, ...)

as.Q_objective(x)

## S3 method for class 'Q_objective'
variable.names(object, ...)

Arguments

Value

an object of class "Q_objective" which inherits from "objective".

Author(s)

Stefan Theussl

Description

Take a sequence of constraints (ROI objects) arguments and combine by rows, i.e., putting several constraints together.

Usage

## S3 method for class 'constraint'
rbind(..., use.names = FALSE, recursive = FALSE)

Arguments

Details

The output type is determined from the highest type of the components in the hierarchy
"L_constraint" < "Q_constraint" < "F_constraint" and
"L_constraint" < "C_constraint".

Value

an object of a class depending on the input which also inherits from "constraint". See Details.

Author(s)

Stefan Theussl

Description

ROI_applicable_solvers takes as argument an optimization problem (object of class 'OP') and returns a vector giving the applicable solver. The set of applicable solver is restricted on the available solvers, which means if solver "A" and "B" would be applicable but a ROI.plugin is only installed for solver "A" only solver "A" would be listed as applicable solver.

Usage

ROI_applicable_solvers(op)

Arguments

Value

An character vector giving the applicable solver, for a certain optimization problem.

Description

ROI_available_solvers returns a data.frame of details corresponding to solvers currently available at one or more repositories. The current list of packages is downloaded over the Internet.

Usage

ROI_available_solvers(x = NULL, method = getOption("download.file.method"))

Arguments

Details

To get an overview about the available solvers ROI_available_solvers() can be used. If a signature or an object of class "OP" is provided ROI will only return the solvers applicable the optimization problem. Note since NLP solver are also applicable for LP and QP they will also be listed.

Value

a data.frame with one row per package and repository.

Examples

## Not run: 
ROI_available_solvers()
op <- OP(1:2)
ROI_available_solvers(op)
ROI_available_solvers(OP_signature(op))

## End(Not run)

Description

Allow the user to set and examine a variety of ROI options like the default solver or the function used to compute the gradients.

Usage

ROI_options(option, value)

Arguments

Description

Add a status code to the status database.

Usage

ROI_plugin_add_status_code_to_db(solver, code, symbol, message, roi_code = 1L)

Arguments

See Also

Other plugin functions: ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Examples

## Not run: 
solver <- "ecos"
ROI_plugin_add_status_code_to_db(solver, 0L, "ECOS_OPTIMAL", "Optimal solution found.", 0L)
ROI_plugin_add_status_code_to_db(solver, -7L, "ECOS_FATAL", "Unknown problem in solver.", 1L)
solver <- "glpk"
ROI_plugin_add_status_code_to_db(solver, 5L, "GLP_OPT", "Solution is optimal.", 0L)
ROI_plugin_add_status_code_to_db(solver, 1L, "GLP_UNDEF", "Solution is undefined.", 1L)

## End(Not run)

Description

There exist different forms of functional equality constraints, this function transforms the form used in ROI into the forms commonly used by R optimization solvers.

Usage

ROI_plugin_build_equality_constraints(x, type = c("eq_zero", "eq_rhs"))

Arguments

Details

There are two types of equality constraints commonly used in R

1. eq\_zero: $h(x) = 0$ and

2. eq\_rhs: $h(x) = rhs$ .

Value

Returns one function, which combines all the functional constraints.

Note

This function only intended for plugin authors.

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Description

There exist different forms of functional inequality constraints, this function transforms the form used in ROI into the forms commonly used by R optimization solvers.

Usage

ROI_plugin_build_inequality_constraints(x, type = c("leq_zero", "geq_zero"))

Arguments

Details

There are three types of inequality constraints commonly used in R

1. leq\_zero: $h(x) \leq 0$ and

2. geq\_zero: $h(x) \geq 0$ and

3. leq_geq\_rhs: $lhs \geq h(x) \leq rhs$ .

Value

Returns one function, which combines all the functional constraints.

Note

This function only intended for plugin authors.

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Description

Transform the solution to a standardized form.

Usage

ROI_plugin_canonicalize_solution(
  solution,
  optimum,
  status,
  solver,
  message = NULL,
  ...
)

Arguments

Value

an object of class "OP_solution".

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Description

Get the name of the solver plugin.

Usage

ROI_plugin_get_solver_name(pkgname)

Arguments

Value

Returns the name of the solver as character.

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Description

Create a solver signature, the solver signatures are used to indicate which problem types can be solved by a given solver.

Usage

ROI_plugin_make_signature(...)

Arguments

Value

an object of class "ROI_signature" (inheriting from data.frame) with the supported signatures.

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Examples

## ROI_make_LP_signatures
lp_signature <- ROI_plugin_make_signature( objective = "L",
                                           constraints = "L",
                                           types = c("C"),
                                           bounds = c("X", "V"),
                                           cones = c("X"),
                                           maximum = c(TRUE, FALSE) )

Description

Register a new reader / writer method to be used with read.io / write.io.

Usage

ROI_plugin_register_reader(type, solver, method)

ROI_plugin_register_writer(type, solver, signature, method)

Arguments

Details

• File Types

• Method
  

Value

NULL on success

See Also

Other input output: ROI_read(), ROI_registered_reader(), ROI_registered_writer(), ROI_write()

Description

Register a new reformulation method to be used with ROI_reformulate.

Usage

ROI_plugin_register_reformulation(
  from,
  to,
  method_name,
  method,
  description = "",
  cite = "",
  author = ""
)

Arguments

Value

TRUE on success

See Also

Other reformulate functions: ROI_reformulate(), ROI_registered_reformulations()

Description

Register a new solver control argument.

Usage

ROI_plugin_register_solver_control(solver, args, roi_control = "X")

Arguments

Value

TRUE on success

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Description

Register a new solver method.

Usage

ROI_plugin_register_solver_method(signatures, solver, method, plugin = solver)

Arguments

Value

TRUE on success

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_solution_prim(), ROI_registered_solver_control()

Description

Generic getter functions used by the function solution. These functions can be used to write a solver specific getter function.

Usage

ROI_plugin_solution_prim(x, force = FALSE)

## S3 method for class 'OP_solution'
ROI_plugin_solution_prim(x, force = FALSE)

## S3 method for class 'OP_solution_set'
ROI_plugin_solution_prim(x, force = FALSE)

ROI_plugin_solution_dual(x)

ROI_plugin_solution_aux(x)

ROI_plugin_solution_psd(x)

ROI_plugin_solution_msg(x)

ROI_plugin_solution_status_code(x)

ROI_plugin_solution_status(x)

ROI_plugin_solution_objval(x, force = FALSE)

Arguments

Value

the corresponding solution/s.

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_registered_solver_control()

Description

Reads an optimization problem from various file formats and returns an optimization problem of class "OP".

Usage

ROI_read(file, type, solver = NULL, ...)

Arguments

Value

x an optimization problem of class "OP".

See Also

Other input output: ROI_plugin_register_reader_writer, ROI_registered_reader(), ROI_registered_writer(), ROI_write()

Description

Register a new reformulation method.

Usage

ROI_reformulate(x, to, method = NULL)

Arguments

Details

Currently ROI provides two reformulation methods.

1. bqp_to_lp transforms binary quadratic problems to linear mixed integer problems.

2. qp_to_socp transforms quadratic problems with linear constraints to second-order cone problems.

Value

the reformulated optimization problem.

See Also

Other reformulate functions: ROI_plugin_register_reformulation(), ROI_registered_reformulations()

Examples

## Example from 
## Boros, Endre, and Peter L. Hammer. "Pseudo-boolean optimization."
## Discrete applied mathematics 123, no. 1 (2002): 155-225.

## minimize: 3 x y + y z - x - 4 y - z + 6

Q <- rbind(c(0, 3, 0), 
           c(3, 0, 1), 
           c(0, 1, 0))
L <- c(-1, -4, -1)
x <- OP(objective = Q_objective(Q = Q, L = L), types = rep("B", 3))

## reformulate into a mixed integer linear problem
milp <- ROI_reformulate(x, "lp")

## reformulate into a second-order cone problem
socp <- ROI_reformulate(x, "socp")

Description

Retrieve meta information about the registered reader

Usage

ROI_registered_reader(type = NULL)

Arguments

Value

x a data.frame containing information about the registered readers.

See Also

Other input output: ROI_plugin_register_reader_writer, ROI_read(), ROI_registered_writer(), ROI_write()

Examples

ROI_registered_reader()
ROI_registered_reader("mps_fixed")

Description

Retrieve meta information about the registered reformulations.

Usage

ROI_registered_reformulations()

Value

a data.frame giving some information about the registered reformulation methods.

See Also

Other reformulate functions: ROI_plugin_register_reformulation(), ROI_reformulate()

Examples

ROI_registered_reformulations()

Description

Retrieve the registered solver control arguments.

Usage

ROI_registered_solver_control(solver)

Arguments

Value

a data.frame giving the control arguments.

See Also

Other plugin functions: ROI_plugin_add_status_code_to_db(), ROI_plugin_build_equality_constraints(), ROI_plugin_build_inequality_constraints(), ROI_plugin_canonicalize_solution(), ROI_plugin_get_solver_name(), ROI_plugin_make_signature(), ROI_plugin_register_solver_control(), ROI_plugin_register_solver_method(), ROI_plugin_solution_prim()

Description

Retrieve the names of installed or registered solvers.

Usage

ROI_registered_solvers(...)

ROI_installed_solvers(...)

Arguments

Details

Whereas ROI_installed_solvers() may lists the names of installed solvers that do not necessarily work, ROI_registered_solvers() lists all solvers that can be used to solve optimization problems.

Value

a named character vector.

Author(s)

Stefan Theussl

Description

Write an optimization problem to file.

Usage

ROI_registered_writer(signature = NULL)

Arguments

See Also

Other input output: ROI_plugin_register_reader_writer, ROI_read(), ROI_registered_reader(), ROI_write()

Examples

ROI_registered_writer()
op <- OP(1:2)
ROI_registered_writer(OP_signature(op))

Description

Solve a given optimization problem. This function uses the given solver (or searches for an appropriate solver) to solve the supplied optimization problem.

Usage

ROI_solve(x, solver, control = list(), ...)

Arguments

Value

a list containing the solution and a message from the solver.

• solutionthe vector of optimal coefficients

• objvalthe value of the objective function at the optimum

• statusa list giving the status code and message form the solver. The status code is 0 on success (no error occurred) 1 otherwise.

• messagea list giving the original message provided by the solver.

Author(s)

Stefan Theussl

References

Theussl S, Schwendinger F, Hornik K (2020). 'ROI: An Extensible R Optimization Infrastructure.' Journal of Statistical Software_, *94*(15), 1-64. doi: 10.18637/jss.v094.i15 (URL: https://doi.org/10.18637/jss.v094.i15).

Examples

## Rosenbrock Banana Function
## -----------------------------------------
## objective
f <- function(x) {
   return( 100 * (x[2] - x[1] * x[1])^2 + (1 - x[1])^2 )
}
## gradient
g <- function(x) {
   return( c( -400 * x[1] * (x[2] - x[1] * x[1]) - 2 * (1 - x[1]),
             200 * (x[2] - x[1] * x[1])) )
}
## bounds
b <- V_bound(li = 1:2, ui = 1:2, lb = c(-3, -3), ub = c(3, 3))
op <- OP( objective = F_objective(f, n = 2L, G = g),
          bounds = b )
res <- ROI_solve( op, solver = "nlminb", control = list(start = c( -1.2, 1 )) )
solution( res )
## Portfolio optimization - minimum variance
## -----------------------------------------
## get monthly returns of 30 US stocks
data( US30 )
r <- na.omit( US30 )
## objective function to minimize
obj <- Q_objective( 2*cov(r) )
## full investment constraint
full_invest <- L_constraint( rep(1, ncol(US30)), "==", 1 )
## create optimization problem / long-only
op <- OP( objective = obj, constraints = full_invest )
## solve the problem - only works if a QP solver is registered
## Not run: 
res <- ROI_solve( op )
res
sol <- solution( res )
names( sol ) <- colnames( US30 )
round( sol[ which(sol > 1/10^6) ], 3 )

## End(Not run)

Description

Obtain the signature of a registered solver.

Usage

ROI_solver_signature(solver)

Arguments

Value

the solver signature if the specified solver is registered NULL otherwise.

Examples

ROI_solver_signature("nlminb")

Description

Write an optimization problem to file.

Usage

ROI_write(x, file, type, solver = NULL, ...)

Arguments

See Also

Other input output: ROI_plugin_register_reader_writer, ROI_read(), ROI_registered_reader(), ROI_registered_writer()

Description

The solution can be accessed via the method 'solution'.

Usage

solution(
  x,
  type = c("primal", "dual", "aux", "psd", "msg", "objval", "status", "status_code"),
  force = FALSE,
  ...
)

Arguments

Value

the extracted solution.

Description

The types of a given optimization problem (OP) can be accessed or mutated via the method 'types'.

Usage

types(x)

types(x) <- value

Arguments

Value

a character vector.

Author(s)

Stefan Theussl

Examples

## minimize: x + 2 y
## subject to: x + y >= 1
## x, y >= 0    x, y are integer
x <- OP(objective = 1:2, constraints = L_constraint(c(1, 1), ">=", 1))
types(x) <- c("I", "I")
types(x)

Description

This dataset contains the historical monthly returns of 30 of the largest US stocks from 1999-01-29 to 2013-12-31. This data is dividend adjusted based on the CRSP methodology.

Format

A matrix with 30 columns (representing stocks) and 180 rows (months).

Details

The selected stocks reflect the DJ 30 Industrial Average Index members as of 2013-09-20.

The data source is Quandl. Data flagged as "WIKI" in their database is public domain.

Source

https://www.quandl.com

Description

Constructs a variable bounds object.

Usage

V_bound(li, ui, lb, ub, nobj, ld = 0, ud = Inf, names = NULL)

as.V_bound(x)

is.V_bound(x)

Arguments

Details

This function returns a sparse representation of objective variable bounds.

Value

An S3 object of class "V_bound" containing lower and upper bounds of the objective variables.

Examples

V_bound(li=1:3, lb=rep.int(-Inf, 3))
V_bound(li=c(1, 5, 10), ui=13, lb=rep.int(-Inf, 3), ub=100, nobj=20)

Description

The utility function vech performs a half-vectorization on the given matrices.

Usage

vech(...)

Arguments

Value

a matrix