Quadratically bounded quadratic programming in R

Question

Is there a function in R that optimizes with quadratic constraints?

Link: http://en.wikipedia.org/wiki/Quadratically_constrained_quadratic_program

Answer 1

You should view your options in the CRAN Optimization and Mathematical ProgrammingTask View.

Answer 2

Yes, there are several software packages that can solve QCQP.

CLSOCP solves SOCP problems. DWD also solves SOCP issues. Rcsdp solves problems with SDP.

Keep in mind that

QCQPs are a subset of SOCPs, which in turn are a subset of SDPs.

There are online links illustrating how to formulate QCQP as SOCP or PSD

Answer 3

For reference only.

There is a new ECOSolveR package for SOCP

Answer 4

You might want to try the quadprog package: functions for solving quadratic programming problems.

http://cran.r-project.org/web/packages/quadprog/index.html