Quotation Theußl, Stefan. 2008. Mixed Integer Linear Programming in R. Rmetrics Workshop, Meielisalp, Schweiz, 28.06.-02.07.




Since the seminal work of Markowitz optimal stock selection is routinely used by portfolio managers. The underlying optimization problem can be solved using quadratic pro- gramming methods. Recent developments show that there is an increasing interest to deal with these optimization problems using R. The Computational Infrastructure for Operations Research (COIN-OR) initiative offers several open source projects in the area of optimization. In this talk we present COIN-OR including a selection of its projects. Furthermore, we give an overview of interfaces to mixed integer linear programming (MILP) solvers like COIN-OR SYMPHONY available in R. Finally, we present results of a benchmark experiment comparing the presented MILP solvers.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Mixed Integer Linear Programming in R
Event Rmetrics Workshop
Year 2008
Date 28.06.-02.07
Country Switzerland
Location Meielisalp
URL http://www.rmetrics.org/


Theußl, Stefan (Details)
Institute for Statistics and Mathematics IN (Details)
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