CVXR: An R Package for Disciplined Convex Optimization

TL;DR

CVXR is an R package that simplifies convex optimization modeling by allowing users to formulate problems in natural mathematical syntax, verifying convexity automatically, and converting them into standard forms for solvers.

Contribution

It introduces an object-oriented modeling language for convex optimization in R, enabling natural problem formulation and automatic convexity verification.

Findings

Supports multiple applications demonstrating its versatility.

Automatically verifies convexity using disciplined convex programming.

Converts problems into conic form for efficient solving.

Abstract

CVXR is an R package that provides an object-oriented modeling language for convex optimization, similar to CVX, CVXPY, YALMIP, and Convex.jl. It allows the user to formulate convex optimization problems in a natural mathematical syntax rather than the restrictive 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 mathematical properties. CVXR then applies signed disciplined convex programming (DCP) to verify the problem's convexity. Once verified, the problem is converted into standard conic form using graph implementations and passed to a cone solver such as ECOS or SCS. We demonstrate CVXR's modeling framework with several applications.