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I am looking for an optimization routine that can optimize a non-linear objective function with integer constraints. NuOPT for S-Plus, CPLEX, or Matlab include powerful optimization packages for these kinds of optimizations?

Is there any similar kind of package for R? Or is there an optimization procedure (perhaps genetic algorithms) that can solve this problem?

For what it's worth I'm performing a portfolio mean-variance optimization.

Thanks!

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Interesting question. Did (or do) you see anything relevant under the Optimisation CRAN Task View cran.r-project.org/web/views/Optimization.html – Jeromy Anglim Jul 14 '11 at 5:54
@user603, in a deleted reply, has pointed out that this is likely a quadratic program (because that is what CPLEX does and, I would like to add, portfolio mean-variance optimization is usually formulated as a quadratic program). Usually one is much better off using optimizers written specifically for quadratic programs rather than with general-purpose nonlinear optimizers. That can help limit the search for packages. – whuber♦ Jul 14 '11 at 14:19

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The most recent issue of The R Journal contains Differential Evolution with DEoptim, which illustrates how to use DEoptim for portfolio optimization.

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This is helpful - thank you for the link! – Quant Guy Jul 27 '11 at 15:58
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If you are willing to pay for it, there is an interface between R and NAG NAGFWrappers

That includes all sort of optimization algorithms, if you know NAG, all chapter E04 is in there.

Obviously you could interface R with NAG writing some C++ code before the package was available, but now it's easier.

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