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R interface to the Splitting Conic Solver (SCS)

Control Arguments

Parameter	Default Value	Type	Description
max_iters	100000	integer	maximum number of iterations
eps_rel	1e-04	numeric	relative feasibility tolerance
eps_abs	1e-04	numeric	absolute feasibility tolerance
eps_infeas	1e-07	numeric	Infeasibility tolerance (primal and dual)
alpha	1.5	numeric	Douglas-Rachford relaxation parameter
rho_x	1e-06	numeric	Primal scale factor
scale	0.1	numeric	Initial dual scale factor, updated if `adaptive_scale` is True
verbose	FALSE	boolean	Write out progress
normalize	TRUE	boolean	Whether to perform heuristic data rescaling
warm_start	FALSE	boolean	Whether to warm start
acceleration_lookback	0	integer	How much memory to use for Anderson acceleration
acceleration_interval	1	integer	Run Anderson acceleration every this number of iterations
adaptive_scale	TRUE	boolean	Whether to heuristically adapt dual `scale` through the solve
log_csv_filename		string	If non `NULL` SCS will write logs of quantities through the solver (ignored)
time_limit_secs	0	numeric	Time limit for solve run in seconds (can be fractional, 0 implies no limit
write_data_filename		string	If non `NULL`set the problem data is dumped to this filename (ignored)

Reference

O’Donoghue Brendan, Chu Eric, Parikh Neal, Boyd Stephen (2016). Operator Splitting for Conic Optimization via Homogeneous Self-Dual Embedding. Journal of Optimization Theory and Applications 169(3), 1042-1068. URL https://doi.org/10.1007/s10957-016-0892-3.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.