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

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

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

Just for reference.

There is a new package ECOSolveR to solve SOCPs

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

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

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.