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2018 May 04
0
adding overall constraint in optim()
...ional 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,...
2018 May 06
1
adding overall constraint in optim()
...ance 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? &g...
2018 May 03
2
adding overall constraint in optim()
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
2012 Apr 15
6
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week New packages ------------ * disclapmix (0.1) Maintainer: Mikkel Meyer Andersen Author(s): Mikkel Meyer Andersen and Poul Svante Eriksen License: GPL-2 http://crantastic.org/packages/disclapmix disclapmix makes inference in a mixture of Discrete Laplace distributions using the EM algorithm. * EstSimPDMP (1.1) Maintainer: Unknown Author(s):