Volume computation and sampling

About

The volesti package provides R with functions for volume estimation and sampling. In particular, it provides an R interface for the C++ library volesti.

volesti computes approximations of volume of polytopes given as a set of points or linear inequalities or as a Minkowski sum of segments (zonotopes). There are algorithms for volume approximation as well as algorithms for sampling, rounding and rotating polytopes. Last but not least, volesti provides implementations of geometric algorithms to compute the score of a portfolio given asset returns and to detect financial crises in stock markets.

Download and install

• The latest stable version is available from CRAN.
• The latest development version is available on Github https://github.com/GeomScale/Rvolesti

To use the development version of volesti that includes the C++ code, you need to clone the repository and fetch the submodule. Follow these steps:

• Clone the main Rvolesti repository.
• Fetch the submodule from the volesti repository:

git submodule update --recursive --init --remote

• Build package by running:

Rcpp::compileAttributes()
devtools::build()

• Install Rvolesti by running:

install.packages("volesti")

The package-dependencies are: Rcpp, RcppEigen, BH.

Documentation

• Using the R Interface
• Wikipage with Tutorials and Demos
• Tutorial given to PyData meetup

How to update the volesti R package?

The C++ source code is retrieved from volesti package and placed in src/include of the current repository. To update the current C++ code we have to follow two steps:

• Update the cran_include branch in volesti
  • Clone the main volesti repository
  • Checkout to the cran_include branch
  • Update your code and open a PR similar to GeomScale/volesti#277
• Retrieve the new include directory using submodule

git submodule update --recursive --init --remote

Note: it is possible the this update will brake the R interface, thus this operation should be processed with care.

Credits

• Contributors and Package History
• List of Publications

Copyright (c) 2012-2023 Vissarion Fisikopoulos

Copyright (c) 2018-2023 Apostolos Chalkis

You may redistribute or modify the software under the GNU Lesser General Public License as published by Free Software Foundation, either version 3 of the License, or (at your option) any later version. It is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY.