[R] DEoptim example illustrating use of fnMap parameter for enforcement of cardinality constraints

[Joshua Ulrich]

Hi David,

I apologize for the lack of documentation.  I added it quickly and
didn't have adequate time to document it.

The function below works with the objective function in the
"Large-scale portfolio optimization with DEoptim" vignette.
Also, I just committed the full example
(pkg/DEoptim/sandbox/slimLargeN_map.R) to the DEoptim repository on
R-forge: https://r-forge.r-project.org/projects/deoptim/

mappingFun <- function(x) {
  x[which(order(x) < 6)] <- 0
  x <- round(x,2) # produce some dups
  x/sum(x)
}
set.seed(1234)
out <- DEoptim(fn=obj, lower=lower,
  upper=upper, control=controlDE, fnMap=mappingFun)

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com


On Fri, Jun 15, 2012 at 3:24 AM, David-Michael Lincke
<dlincke at lincke.com> wrote:
> Function DEoptim in package DEoptim for differential evolution defines an optional parameter fnMap:
>
> fnMap
>
> "an optional function that will be run after each population is created, but before the population is passed to the objective function. This allows the user to impose integer/cardinality constriants."
>
> Unfortunately, there is no further documentation decribing the kind of parameters being passed to this function on invocation or the structure of the return value expected. I would very much appreciate it if somebody familiar with this package could provide an example illustrating how this interface is meant to be used to enforce cardinality constraints.
>
> Thanks,
> David
>
>
>        [[alternative HTML version deleted]]
>
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