Release Notes of S+NuOpt Version 1.6.2.0b  ( November 30, 2004 )

This release incorporates several fixes and improvements to the NUOPT kernel library. This release note is common for all the modules Windows/Linux/Solaris.

Below is a selected list of improvements and new functions.

NUOPT kernel

- Further reduction of the memory leak within S-PLUS environment

To invoke, insert the following lines after each iteration of large scale optimization is completed:

delete.System(my.system)
nuoptAllClear();

- Faster MIP (Mixed Integer Linea/Quadratic Programming)

Depending on the nature of the problem, a speed up by a factor of 1.5 - 7.0 for MILP/MIQP problems is achieved by revising some parts of the implementation in version 1.5.


- Improved reporting of Mixed Integer Programming (MIP).

Solution report will be expanded to include for example the gap of the upper and lower limit of the objective, and the machine resource etc.


- Faster Active Set method ("asqp")

It is quite fast algorithm for basic type of Markowitz problem.  More speed up is achieved and available in this release.

- Sequential Quadratic Programming

A type of Sequential Quadratic Programming has been developed that could handle large scale problems. For some type of NLP problem, it is faster and reliable than interior point method.  This new method can be invoked in new release by setting

nuopt.options(method="lsqp") # Use Line search SQP method
nuopt.options(method="tsqp") # Use Trust region SQP method