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
[[alternative HTML version deleted]]
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 > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.
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. :-)> 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 >> >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code.
> 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
This looks like what I call a sumscale problem i.e., some sort of simple function of the parameters sums to a constant. I've done some work on these, but don't have it with me just now. There are several approaches, but they can be quite tricky. Will send some info in about a week or so if you are still stuck and contact me offline. JN (you'll see my name on 3/5 of optim routines via ?optim) On 2018-05-03 01:52 PM, Michael Ashton 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 > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >