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rmatlabmathematical-optimization

R equivalent of MATLAB's fmincon for constrained optimization?


Is there an equivalent to the MATLAB function fmincon() which finds the minimum of a constrained non-linear function (with linear equality AND inequality constraints) in R?

I can rule out constrOptim (doesn't support equality constraints) and quadprog (only quadratic functions) which are listed on the R Optimization task page.


Solution

  • The package nloptr is an R interface to NLopt, a library for nonlinear optimization with algorithms for unconstrained optimization, bound-constrained optimization, and general nonlinear inequality/equality constraints.