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 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 >>> >>> >>> [[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. > ______________________________________________ > 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.-- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2018 | www.rinfinance.com
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
> >>>
> >>>
> >>> [[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.
> > ______________________________________________
> > 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.
>
>
>
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
> R/Finance 2018 | www.rinfinance.com
>
> ______________________________________________
> 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.
>
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