[R] adding overall constraint in optim()

Michael Ashton
Thu, 03 May 2018 19:03:53 -0000

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]]
>>
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