[R-SIG-Finance] Problem with solver solveRquadprog in fPortfolio
podvalov at gmx.net
Sat Apr 17 13:33:05 CEST 2010
First of all thank you very much for your fast reply and clarification.
I thought it could be an interface error, but of course I was not sure.
Do you have already a rough idea when the new version of fPortfolio will
Have a nice weekend and best regards,
Yohan Chalabi wrote:
>>>>> "PK" == Peter Keller <podvalov at gmx.net>
>>>>> on Sat, 17 Apr 2010 14:07:29 +0300
> PK> Hi there,
> PK> I have a serious problem with solver solveRquadprog in
> PK> fPortfolio.
> PK> Unfortunately, solveRquadprog is the standard solver in
> PK> fPortfolio and
> PK> pretty essential.
> PK> How to replicate the problem on my PC:
> PK> library(fPortfolio)
> PK> library(fEcofin)
> PK> library(Rsymphony)
> PK> library(lpSolveAPI)
> PK> djiData = as.timeSeries(DowJones30)
> PK> djiData.ret <- 100 * returns(djiData)
> PK> frontier <- portfolioFrontier(djiData.ret)
> PK> I get then the error message:
> PK> Error in .Fortran("qpgen2", as.double(Dmat), dvec =
> PK> as.double(dvec),
> PK> as.integer(n), :
> PK> Incorrect number of arguments (16), expecting 17 for qpgen2
> PK> I’ve installed R version 2.10.1 on Windows 7 (32 bit) with
> PK> updated CTV
> PK> Finance.
> PK> Interestingly, this problem only appeared after a
> PK> while. Initially,
> PK> everything worked fine, but suddenly, without doing something
> PK> special,
> PK> this error appeared. I already completely uninstalled R,
> PK> rebooted the PC
> PK> and re-installed R (including updated CTV Finance), but it
> PK> did not help
> PK> at all.
> PK> I highly would appreciate any help. I already spent quite a
> PK> lot of time
> PK> to find a solution, but there is not a lot of help available.
> PK> Best regards,
> PK> Peter Keller
> Hi Peter,
> The mentioned error is due to a change in the new version of
> quadprog package and a direct call of the Fortran routine in fPortfolio.
> We have already updated the devel version of fPortfolio on R-forge. As
> soon as we have run all test, we will upload a new version of
> fPortfolio to CRAN.
> You can either wait until the new pkg is on CRAN or compile it from
> source and get the devel code from R-forge. More info
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