R Observatory: Metrics for rolloptim version 1.0.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

rolloptim

1.0.0

Rolling Optimizations

0packages depend

245downloads / year

92.4%test coverage

13/13checks pass

Overview

About

Maintained by Jason FosterFirst published 2026-07-111 releasesCRAN page ↗GitHub ↗

Analytical computation of rolling optimization for time-series data. The 'rolloptim' package solves constrained quadratic and linear programs in closed form by applying Lagrangian multipliers and the Karush-Kuhn-Tucker conditions (Kuhn and Tucker, 1951, doi:10.1525/9780520411586-036) to perform mean-variance portfolio optimization (Markowitz, 1952, doi:10.1111/j.1540-6261.1952.tb01525.x) over rolling windows. For each window, the analytical solution computes the optimal weights that minimize variance, maximize expected return, minimize residual sum of squares, or maximize quadratic utility, subject to a total-weight equality constraint and box bounds on each weight. Use cases include mean-variance portfolio optimization, expected-return maximization, and constrained regression. The package supports rolling optimizations with constraints via the total, lower, and upper arguments. The implementation accepts rolling moments computed via the 'roll' package and uses 'RcppArmadillo' for linear algebra, with parallelism across windows provided by 'RcppParallel'.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("rolloptim", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("jasonjfoster/rolloptim")

Development version from jasonjfoster/rolloptim. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-rolloptim

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-rolloptim

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-rolloptim

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.3 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 2.88

92.4%

Coverage · measured lines

100%

Documentation · exports

2

Dependencies · direct

Check history

OK2026-08-04
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-07-12
7 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 258 wordsVignettesNopkgdown siteNoNEWSYes · 33% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 20%

Downloads

245

CRAN downloads in the past year

Rank #24,296 · ~1/day · ~20/mo

Releases R versions

Daily download trend is not available in this view yet.

23330 days

24590 days

2451 year

Compare downloads with other packages →

Also on20 r2u

Repository

GitHub ↗ jasonjfoster/rolloptim

4Stars

0Forks

0Open issues

0Open PRs

0Releases

83Commits

1Contributors

algorithmsoptimizationpackagerrcpp

83 commits · Last activity 2026-07-11

Repository practices

Upstream repositoryBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/jasonjfoster/rolloptim on 2026-08-09.

Continuous integration (1)

GitHub Actions

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

14 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (2)

Rcpp RcppParallel

LinkingTo (3)

Rcpp RcppArmadillo RcppParallel

Suggests (9)

covr CVXR ROI ROI.plugin.glpk ROI.plugin.qpoases ROI.plugin.quadprog roll testthat zoo

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

Jason Foster

Author, Maintainer

Authors (1)

Jason Foster

Author, Maintainer

Package Timeline

1 release. R releases are shown for context.

1.0.0Latest
2026-07-11 · current release
R
R 4.6.0 released · 2026-04-24

Package metadata

First published: 2026-07-11
Total releases: 1 / 1 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.5.0
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("rolloptim")

Format

Foster, J. (2026). rolloptim: Rolling Optimizations (Version 1.0.0) [Computer software]. https://doi.org/10.32614/CRAN.package.rolloptim

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for rolloptim version 1.0.0 [Data set]. HJJB, LLC. Data release v2026-08-11. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-11, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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