[R] adding overall constraint in optim()

[David Winsemius]

> On 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!

Have you reviewed the documentation for constrOptim {in pkg-stats}?

> 
> 
> 	[[alternative HTML version deleted]]

I was surprised that emoji made it through. Nonetheless it is usually much safer to posting in plain-text. Didn't seem to be a problem in this case but code and data are often mangled.


David Winsemius
Alameda, CA, USA

'Any technology distinguishable from magic is insufficiently advanced.'   -Gehm's Corollary to Clarke's Third Law