Displaying 1 result from an estimated 1 matches for "w_3".
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w3
2012 Jul 18
4
The best solver for non-smooth functions?
...he linear constraints
constr <- function(w) {
sum(w)
}
# Results' matrix (it's empty by now)
Results <- matrix(NA, nrow = 3, ncol = 4)
rownames(Results) <- list('donlp2', 'solnp', 'solnp2')
colnames(Results) <- list('w_1', 'w_2', 'w_3', 'Sharpe')
# See the differences between different solvers
rho
Results[1,1:3] <- round(donlp2(fn = sharpe, par = rep(1/N,N), par.lower =
rep(0,N), par.upper = rep(1,N), A = t(rep(1,N)), lin.lower = 1, lin.upper =
1)$par, 2)
Results[2,1:3] <- round(solnp(pars = rep(1/N,N), fun =...