Currently, I am looking deeper into the topic of second-order cone programming.

Could you suggest packages that solve SOCP-problems in R?

With your answer, please provide a short description of the approach the solver takes to arrive at the solution. The software should be non-commerial and ideally either on CRAN or R-forge.

  • 1
    $\begingroup$ There's at least one in the Optimization Task View. You can probably find more by searching via rseek. I'm not sure if it's the same here, but questions asking to recommend or find a tool, library or favorite off-site resource are off-topic on StackOverflow. $\endgroup$ – Joshua Ulrich Jan 10 '14 at 14:09
  • $\begingroup$ I wouldn't use an optimizer in R. If this is just for playing try dwd. But if this is something serious and money is involved. I highly recommend you use mosek. $\endgroup$ – Wilmer E. Henao Jan 14 '14 at 22:50
  • $\begingroup$ @WilmerEHenaoH Why not? My problems are neither time-critical nor large scale... $\endgroup$ – vanguard2k Feb 19 '14 at 7:53

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