Any recommendations for choice of a constrained optimization library suitable for my optimization function? I am minimizing a i) non-linear function with linear equality and inequality constraints, and ii) have available the gradient and the hessian of the function.
If it helps, the function I am minimizing is the Kullback-Liebler divergence.
There are quite a few solutions on the R Cran Task page for Optimization. Iam able to perform the optimization in MATLAB using the fmincon() function which seems to use an interior-point or a trust-region-reflective. Ideally there is a library that is well-suited to the problem defined.