adding overall constraint in optim()

Hi Michael,
A few comments
1. To add the constraint sum(wgt.vect=1) you would use the method of
Lagrange multipliers.
    What this means is that in addition to the w_i (the components of the
weight variables) you would add an additional variable, call it lambda.
    Then you would modify your optim.fun() function to add the term
 lambda * (sum(wgt.vect - 1)
2. Are you sure that you have defined Mo.vect correctly? It is a scalar
the way you have written it.
3. Similarly your definition of wgt.vect creates a scalar.

HTH,
Eric


On Fri, May 4, 2018 at 5:18 AM, Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:

On Thu, May 3, 2018 at 2:03 PM, Michael Ashton
<m.ashton at enduringinvestments.com> wrote:

Thanks Bert. But everyone on that forum wants to use finance tools

rather than general optimization stuff! And I am not optimizing a
traditional Markowitz mean-variance problem. Plus, smarter people here. :-)

I'm very confused by these statements.  Most of the "finance tools"
use general-purpose global and/or stochastic optimization packages
(e.g. rugarch uses nloptr and Rsolnp, PortfolioAnalytics uses DEoptim,
pso, GenSA).  And most (all?) of those optimization packages have ways
to specify box, equality, and nonlinear inequality constraints.

And I can't recall the last time someone emailed the list about
optimizing a traditional Markowitz mean-variance problem... maybe 10
years ago?

On May 3, 2018, at 3:01 PM, Bert Gunter <bgunter.4567 at gmail.com>

wrote:

You can't -- at least as I  read the docs for ?optim (but I'm pretty
ignorant about this, so maybe there's a way to tweak it so you can).

See here:   https://cran.r-project.org/web/views/Optimization.html
for other R optimization capabilities.

Also,  given your credentials, the r-sig-finance list might be a
better place for you to post your query.

Cheers,
Bert


Bert Gunter

"The trouble with having an open mind is that people keep coming along
and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Thu, May 3, 2018 at 10:52 AM, Michael Ashton
<m.ashton at enduringinvestments.com> wrote:

Hi ?

This is giving me a headache. I?m trying to do a relatively simple

optimization ? actually trying to approximate the output from the Excel
Solver function but at roughly 1000x the speed. ?

The optimization parameters look like this. The only trouble is that

I want to add a constraint that sum(wgt.vect)=1, and I can?t figure out how
to do that in optim.

    Mo.vect <- as.vector(tail(head(mo,i),1))
    wgt.vect <- as.vector(tail(head(moWeightsMax,i),1))
    cov.mat <- cov(tail(head(morets,i+12),12))
    opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) /

(t(wgt.vect) %*% (cov.mat %*% wgt.vect))

    LowerBounds<-c(0.2,0.05,0.1,0,0,0)
    UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2)

    OptimSolution<-optim(wgt.vect, fn=opt.fun,

method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds)

Any thoughts are appreciated!

Mike

Michael Ashton, CFA
Managing Principal

Enduring Investments LLC
W: 973.457.4602
C: 551.655.8006


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