Published on June 15, 2016 by Microsoft

CVXR is an R package that provides an object-oriented modeling language for convex optimization. It allows the user to formulate convex optimization problems in a natural mathematical syntax rather than the restrictive standard form required by most solvers. The user specifies an objective and set of constraints by combining constants, variables, and parameters using a library of functions with known curvature and monotonicity properties. CVXR then applies signed disciplined convex programming (DCP) to verify the problem’s convexity and, once verified, converts the problem into a standard conic form using graph implementations and passes it to an open-source cone solver such as ECOS or SCS. We demonstrate CVXR’s modeling framework with several applications.

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