Blog Archives

Sparse Quadratic Programming with Ipoptr

March 8, 2015
By
Sparse Quadratic Programming with Ipoptr

This post is a follow up to my last post on quadratic programming facilities in R. A commenter pointed me to the ipoptr project which exposes an R interface to the COIN-OR optimization routine Ipopt. COIN-OR is a suite of optimization utilities implemented in C++ and supported by a back-end of configurable FORTRAN linear...

Read more »

More on Quadratic Progarmming in R

February 10, 2015
By
More on Quadratic Progarmming in R

This post is another tour of quadratic programming algorithms and applications in R. First, we look at the quadratic program that lies at the heart of support vector machine (SVM) classification. Then we'll look at a very different quadratic programming demo problem that models the energy of a circus tent. The key...

Read more »

Analyzing the 2011-2012 California Health Inteview Survey with R

June 1, 2014
By
Analyzing the 2011-2012 California Health Inteview Survey with R

The California Health Interview Survey (CHIS) is a remarkable biannual survey of health status, care access, and demographics for California residents. The 2011-2012 public use survey data has recently been released and is freely available after registering at the CHIS site. CHIS currently offers data in SAS, Stata, and SPSS formats. However, thanks to a...

Read more »

The Circus Tent Problem with R’s Quadprog

April 20, 2014
By
The Circus Tent Problem with R’s Quadprog

The MathWorks has an interesting demo on how the shape of a circus tent can be modeled as the solution of a quadratic program in MATLAB. In this post, we'll show how to solve this same problem in R using the quadprog package and also provide the technical details not covered in the Mathwork's example. In...

Read more »

Going viral with R’s igraph package

March 23, 2014
By
Going viral with R’s igraph package

R's igraph package provides a simple and flexible set of utilities for working with graphs.  In this post, we'll use this package to animate the simulated spread of a disease through a network. Graphs A graph is just a collection of nodes joined by edges: require(igraph)# Specify an undirected graph by hand, using...

Read more »

Solving Quadratic Progams with R’s quadprog package

January 13, 2014
By
Solving Quadratic Progams with R’s quadprog package

In this post, we'll explore a special type of nonlinear constrained optimization problems called quadratic programs. Quadratic programs appear in many practical applications, including portfolio optimization and in solving support vector machine (SVM) classification problems. There are several packages available to solve quadratic programs in R. Here, we'll work with the quadprog package. Before we dive...

Read more »

Generating Ticker Symbols with Markov Chains

November 25, 2013
By
Generating Ticker Symbols with Markov Chains

Stock ticker symbols are short character string codes (AAPL for Apple, WMT for Walmart) that uniquely identify stock listings. They originate from the days when stock quotes were transmitted via telegraph. These symbols are often used as tools for branding and companies choose them to be memorable and easily recognized. As a fun and simple...

Read more »