Message-ID: <EE39E1B6-78E9-4770-9DA7-33015B810D67@comcast.net>
Date: 2018-05-03T19:12:52Z
From: David Winsemius
Subject: adding overall constraint in optim()
In-Reply-To: <c2776ddd83aa452d9cbee0dff710da0a@MBX084-W1-CA-3.exch084.serverpod.net>
> On 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!
Have you reviewed the documentation for constrOptim {in pkg-stats}?
>
>
> [[alternative HTML version deleted]]
I was surprised that emoji made it through. Nonetheless it is usually much safer to posting in plain-text. Didn't seem to be a problem in this case but code and data are often mangled.
David Winsemius
Alameda, CA, USA
'Any technology distinguishable from magic is insufficiently advanced.' -Gehm's Corollary to Clarke's Third Law