{ "_id": "6a523e839b92047c28d54a2f", "Type": "Package", "Package": "rolloptim", "Title": "Rolling Optimizations", "Version": "1.0.0", "Authors@R": "person(\"Jason\", \"Foster\", , \"jason.j.foster@gmail.com\", role = c(\"aut\", \"cre\"))", "Description": "Analytical computation of rolling optimization for\ntime-series data. The 'rolloptim' package solves constrained\nquadratic and linear programs in closed form by applying\nLagrangian multipliers and the Karush-Kuhn-Tucker conditions\n(Kuhn and Tucker, 1951, ) to\nperform mean-variance portfolio optimization (Markowitz, 1952,\n) over rolling windows.\nFor each window, the analytical solution computes the optimal\nweights that minimize variance, maximize expected return,\nminimize residual sum of squares, or maximize quadratic\nutility, subject to a total-weight equality constraint and box\nbounds on each weight. Use cases include mean-variance\nportfolio optimization, expected-return maximization, and\nconstrained regression. The package supports rolling\noptimizations with constraints via the total, lower, and upper\narguments. The implementation accepts rolling moments computed\nvia the 'roll' package and uses 'RcppArmadillo' for linear\nalgebra, with parallelism across windows provided by\n'RcppParallel'.", "License": "GPL (>= 2)", "URL": "https://github.com/jasonjfoster/rolloptim", "BugReports": "https://github.com/jasonjfoster/rolloptim/issues", "Config/roxygen2/old_usage": "TRUE", "Config/roxygen2/version": "8.0.0", "Encoding": "UTF-8", "SystemRequirements": "GNU make", "Config/pak/sysreqs": "make", "Repository": "https://jasonjfoster.r-universe.dev", "Date/Publication": "2026-07-11 12:25:45 UTC", "RemoteUrl": "https://github.com/jasonjfoster/rolloptim", "RemoteRef": "HEAD", "RemoteSha": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-07-11 12:56:19 UTC", "User": "root" }, "Author": "Jason Foster [aut, cre]", "Maintainer": "Jason Foster ", "_user": "jasonjfoster", "_type": "src", "_file": "rolloptim_1.0.0.tar.gz", "_fileid": "https://r2.ropensci.org/68504b9b502530fdd660a90692203746da4bc339c169b2821b5519ca765aeea6", "_filesize": 107471, "_sha256": "68504b9b502530fdd660a90692203746da4bc339c169b2821b5519ca765aeea6", "_expires": "2026-10-19T13:00:49.000Z", "_created": "2026-07-11T12:56:19.000Z", "_published": "2026-07-11T13:00:51.225Z", "_jobs": [ { "job": 86546697409, "time": 209, "config": "linux-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "8248841101" }, { "job": 86546697437, "time": 204, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "8248840288" }, { "job": 86546697418, "time": 185, "config": "linux-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "8248838295" }, { "job": 86546697422, "time": 162, "config": "linux-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "8248835178" }, { "job": 86546697456, "time": 82, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "8248825438" }, { "job": 86546697435, "time": 203, "config": "macos-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "8248839961" }, { "job": 86546697434, "time": 98, "config": "macos-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "8248827320" }, { "job": 86546697436, "time": 229, "config": "macos-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "8248843421" }, { "job": 86546423469, "time": 229, "config": "source", "r": "4.6.1", "check": "OK", "artifact": "8248815008" }, { "job": 86546697396, "time": 140, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "8248832518" }, { "job": 86546697440, "time": 117, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "8248829851" }, { "job": 86546697454, "time": 114, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "8248829181" }, { "job": 86546697438, "time": 126, "config": "windows-release", "r": "4.6.1", "check": "OK", "artifact": "8248831205" } ], "_host": "GitHub-Actions", "_buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058", "_status": "success", "_upstream": "https://github.com/jasonjfoster/rolloptim", "_commit": { "id": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "author": "Jason Foster ", "committer": "Jason Foster ", "message": "Version: 1.0.0\n", "time": 1783772745 }, "_maintainer": { "name": "Jason Foster", "email": "jason.j.foster@gmail.com", "login": "jasonjfoster", "description": "", "uuid": 7542282 }, "_distro": "resolute", "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 3.5.0", "role": "Depends" }, { "package": "Rcpp", "role": "LinkingTo" }, { "package": "RcppArmadillo", "role": "LinkingTo" }, { "package": "RcppParallel", "role": "LinkingTo" }, { "package": "Rcpp", "role": "Imports" }, { "package": "RcppParallel", "role": "Imports" }, { "package": "covr", "role": "Suggests" }, { "package": "CVXR", "role": "Suggests" }, { "package": "ROI", "role": "Suggests" }, { "package": "ROI.plugin.glpk", "role": "Suggests" }, { "package": "ROI.plugin.qpoases", "role": "Suggests" }, { "package": "ROI.plugin.quadprog", "role": "Suggests" }, { "package": "roll", "version": ">= 1.1.7", "role": "Suggests" }, { "package": "testthat", "role": "Suggests" }, { "package": "zoo", "role": "Suggests" } ], "_owner": "jasonjfoster", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2025-52", "n": 2 }, { "week": "2026-01", "n": 2 }, { "week": "2026-02", "n": 1 }, { "week": "2026-03", "n": 1 }, { "week": "2026-04", "n": 1 }, { "week": "2026-07", "n": 1 }, { "week": "2026-09", "n": 2 }, { "week": "2026-10", "n": 2 }, { "week": "2026-16", "n": 1 }, { "week": "2026-19", "n": 1 }, { "week": "2026-20", "n": 1 }, { "week": "2026-22", "n": 2 }, { "week": "2026-23", "n": 5 }, { "week": "2026-27", "n": 2 }, { "week": "2026-28", "n": 1 } ], "_tags": [], "_topics": [ "algorithms", "optimization", "rcpp", "openblas", "cpp", "openmp" ], "_stars": 4, "_contributors": [ { "user": "jasonjfoster", "count": 83, "uuid": 7542282 } ], "_userbio": { "uuid": 7542282, "type": "user", "name": "Jason Foster", "followers": 29 }, "_downloads": { "count": 0, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/rolloptim" }, "_devurl": "https://github.com/jasonjfoster/rolloptim", "_searchresults": 4, "_rbuild": "4.6.1", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "extra/rolloptim.html", "manual.pdf" ], "_cranurl": false, "_releases": [ { "version": "1.0.0", "date": "2026-07-11" } ], "_exports": [ "roll_max_mean", "roll_max_utility", "roll_min_rss", "roll_min_var" ], "_help": [ { "page": "rolloptim-package", "title": "Rolling Optimizations", "topics": [ "rolloptim-package", "rolloptim" ] }, { "page": "roll_max_mean", "title": "Rolling Optimizations to Maximize Mean", "topics": [ "roll_max_mean" ] }, { "page": "roll_max_utility", "title": "Rolling Optimizations to Maximize Utility", "topics": [ "roll_max_utility" ] }, { "page": "roll_min_rss", "title": "Rolling Optimizations to Minimize Residual Sum of Squares", "topics": [ "roll_min_rss" ] }, { "page": "roll_min_var", "title": "Rolling Optimizations to Minimize Variance", "topics": [ "roll_min_var" ] } ], "_readme": "https://github.com/jasonjfoster/rolloptim/raw/HEAD/README.md", "_rundeps": [ "Rcpp", "RcppArmadillo", "RcppParallel" ], "_sysdeps": [ { "shlib": "liblapack", "package": "libopenblas0-pthread", "source": "openblas", "version": "0.3.32+ds-5", "name": "openblas", "homepage": "https://www.openblas.net/", "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)" }, { "shlib": "libblas", "package": "libopenblas0-pthread", "source": "openblas", "version": "0.3.32+ds-5", "name": "openblas", "homepage": "https://www.openblas.net/", "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)" }, { "shlib": "libstdc++", "package": "libstdc++6", "source": "gcc", "version": "16-20260322-1ubuntu1", "name": "c++", "homepage": "http://gcc.gnu.org/", "description": "GNU Standard C++ Library v3" }, { "shlib": "libgomp", "package": "libgomp1", "source": "gcc", "version": "16-20260322-1ubuntu1", "name": "openmp", "homepage": "http://gcc.gnu.org/", "description": "GCC OpenMP (GOMP) support library" } ], "_score": 3.4771212547196626, "_indexed": true, "_nocasepkg": "rolloptim", "_universes": [ "jasonjfoster" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "1.0.0", "date": "2026-07-11T12:59:59.000Z", "distro": "resolute", "arch": "aarch64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/5bdb4bcc1b1464d2dae06eb39ff30e28d81df759b93640dddd9c49557fb2ae36", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.7.0", "os": "linux", "version": "1.0.0", "date": "2026-07-11T12:59:45.000Z", "distro": "resolute", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/bcb1ae4008cfb488626d6a86027cfc2c9dec8ad8d1b15fb41a38af0a9fed7436", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.6.1", "os": "linux", "version": "1.0.0", "date": "2026-07-11T12:59:34.000Z", "distro": "resolute", "arch": "aarch64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/cc48693d9a439c168ecc1ae21cb7cbaac585cbd938757d1d40e3ff0e73d44d10", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.6.1", "os": "linux", "version": "1.0.0", "date": "2026-07-11T12:59:03.000Z", "distro": "resolute", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/6ec0215a97a56dfc1c5fa68f2c92c064a65b6c99b7d354d2d13504081e6d9ce0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.5.3", "os": "mac", "version": "1.0.0", "date": "2026-07-11T12:57:50.000Z", "arch": "aarch64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/b50829fa847dafcb1cf32e8eba3903f8666a8b2b0fec4ee78e73cc2704843aa1", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.5.3", "os": "mac", "version": "1.0.0", "date": "2026-07-11T12:59:22.000Z", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/a19aeaf805f7070470fe95ac896929a995d005fb7099f17f34e60fac154222ff", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.6.1", "os": "mac", "version": "1.0.0", "date": "2026-07-11T12:58:05.000Z", "arch": "aarch64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/7580cee37f0e81b431088c24c1eac3636dc14411e5fee3b92238c6572205e0c0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.6.1", "os": "mac", "version": "1.0.0", "date": "2026-07-11T12:59:37.000Z", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/0930a253c72032aa9bab91fb407f6749871e9728419f1740f24537732a8c0a5f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.6.0", "os": "wasm", "version": "1.0.0", "date": "2026-07-11T12:58:52.000Z", "arch": "emscripten", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/96458d692cc104e94daa2321928b5afceea5347fba2a2444ba0ac6228a1e7607", "status": "success", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.7.0", "os": "win", "version": "1.0.0", "date": "2026-07-11T12:57:44.000Z", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/68b34342c59c24890c64a1f8755106bee0cd0d38b68a20ab62960e9babcfe545", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.5.3", "os": "win", "version": "1.0.0", "date": "2026-07-11T12:57:47.000Z", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/1f3292336f07df1abac4e1e5caae4130e1c0f18d0d4610f4bd1e7fba602bae6d", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" }, { "r": "4.6.1", "os": "win", "version": "1.0.0", "date": "2026-07-11T12:57:53.000Z", "arch": "x86_64", "commit": "ef0a4a8384857b150d1df749b99efe82fd5cbaf4", "fileid": "https://r2.ropensci.org/cccf854017ce9783a1ef0bbd2788e42c41807d3e339b40579944f82b15fe3b0e", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/jasonjfoster/actions/runs/29153368058" } ] }