[R] adding overall constraint in optim()

John C. Nash
Thu, 03 May 2018 20:49:16 -0000

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
>
>
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