Quadratically constrained quadratic programming in R

Is there a function in R that does optimization with quadratic constraints?

Reference: http://en.w开发者_如何学编程ikipedia.org/wiki/Quadratically_constrained_quadratic_program

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You should look through your options at the CRAN Optimization and Mathematical ProgrammingTask View.

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

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

Keep in mind that

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

There are references online illustrating how to formulate a QCQP as an SOCP or SDP

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Just for reference.

There is a new package ECOSolveR to solve SOCPs

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You might want to try package quadprog: Functions to solve Quadratic Programming Problems.

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

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All these answer seem to forget one important thing: the solver to use depends heavily on whether the constraint is convex or not. If convex we can use readily available QCP / SOCP solvers (including Cplex and Gurobi). If not convex, we can try a general purpose NLP solver (such as IPOPT). Non-convex global solvers are another possibility, but most are not directly available under R.