Solver Interfaces in CVXR

Introduction

• ECOS and its mixed integer
  cousin ECOS_BB via the CRAN package
  ECOSolveR
• SCS via the CRAN package
  scs .

CVXR (version 0.99) can also make use of several other open source

solvers implemented in R packages:

• The linear and mixed integer programming package
  lpSolve via the
  lpSolveAPI package
• The linear and mixed integer programming package GLPK via the
  Rglpk package.

About Solvers

The real work of finding a solution is done by solvers, and writing

good solvers is hard work. Furthermore, some solvers work particularly

well for certain types of problems (linear programs, quadratic

programs, etc.). Not surprisingly, there are commercial vendors who

have solvers that are designed for performance and scale. Two

well-known solvers are MOSEK and

GUROBI . R packages for these solvers are

also provided, but they require the problem data to be constructed in

a specific form. This necessitates a bit of work in the current version of

CVXR and is certainly something we plan to include in future versions.

However, it is also true that these commercial solvers expose a much

richer API to Python programmers than to R programmers. How, then, do we

interface such solvers with R as quickly as possible, at least

in the short term?

Reticulate to the Rescue

The current version of CVXR exploits the

reticulate package

suitably to make them self-contained, and hooked them up to reticulate .

This means that one needs two prerequisites to use these commercial solvers in the current version of CVXR :

• A Python installation
• The reticulate R
  package.

Installing MOSEK/GUROBI

Both MOSEK and

GUROBI provide academic versions

(registration required) free of charge. For example,

Anaconda users can install MOSEK with the command:

conda install -c mosek mosek

Others can use the pip command:

pip install -f https://download.mosek.com/stable/wheel/index.html Mosek

GUROBI is handled in a similar fashion. The solvers must be activated using a

license provided by the vendor.

Once activated, one can check that CVXR recognizes the solver;

installed_solvers() should list them.

> installed_solvers()
[1] "ECOS"    "ECOS_BB" "SCS"     "MOSEK"   "LPSOLVE" "GLPK"    "GUROBI"

Further information

More information on these solvers, along with a number of tutorial examples are

available on the CVXR site. If you are

attending useR! 2018 , you can catch

Anqi’s CVXR talk on Friday, July 13.