[R] adding overall constraint in optim()

[Bert Gunter]

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
>
>
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>
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