adding overall constraint in optim()

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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