Rcpp module: CPG
Module for defining and solving convex programs.
Details
The module contains the following items: classes:
- CONEC: Class for inequality (cone) constraints.
- CTRL: Class for control parameters used in optimizations.
- PDV: Class for primal/dual variables.
- DCP: Class for definition of convex programs.
- DLP: Class for definition of linear programs.
- DNL: Class for definition of linear programs with non-linear constraints.
- DQP: Class for definition of quadratic programs.
- CPS: Class for solution of convex programs.
functions:
- rpp: Function for solving risk parity portfolios.
- gpp: Function for solving a geometric program.