[R-SIG-Finance] Problem with solver solveRquadprog in fPortfolio
Peter Keller
podvalov at gmx.net
Sat Apr 17 14:56:55 CEST 2010
Yes, this works properly! Thank you very much!
Have a nice weekend!
Warm regards,
Peter Keller
Joshua Ulrich wrote:
> On Sat, Apr 17, 2010 at 7:33 AM, Peter Keller <podvalov at gmx.net> wrote:
>> Yes, it almost works, and I had "quadprog" already installed.
>>
>> Unfortunately, after calling in my example (top post):
>>
>> ...
>> Spec <- portfolioSpec()
>> setSolver(Spec) <- "solve.QP"
>> frontier <- portfolioFrontier(djiData.ret, Spec)
>>
>> I get now the error message:
>>
>> Error in rep(0, q) : invalid 'times' argument
>>
>> Tricky thing... Any idea what is the reason for that and how to solve it? Or
>> better wait for new release of fPortfolio?
>>
>
> Rather than waiting for the CRAN release, could you use the
> development version on R-forge?
> It's easy to install via:
> install.packages("fPortfolio",repos="http://r-forge.r-project.org")
>
> If you can't do that, you could always revert back to the previous
> version of quadprog that worked with the current version of fPortfolio
> on CRAN.
>
> Best,
> --
> Joshua Ulrich
> FOSS Trading: www.fosstrading.com
>
>
>
>> Kind regards,
>>
>> Peter
>>
>> Sarbo wrote:
>>> Try this:
>>>
>>> library(quadprog)
>>>
>>> Spec <- portfolioSpec()
>>> setSolver(Spec) <- 'solve.QP'
>>>
>>> "solve.QP " is the solver used by the "quadprog" package, but I suspect
>>> you need to have the package loaded already in order for this to work.
>>> However, since quadprog is part of the base R installation anyway, I doubt
>>> you'll need to install it.
>>>
>>> On Sat, 2010-04-17 at 15:08 +0300, Peter Keller wrote:
>>>> Thanks for the suggestion. I already tried to change the solver in
>>>> fPortfolio, but I was not yet successful.
>>>>
>>>> As far as I know, you can change the solver in fPortfolio as follows:
>>>>
>>>> ...
>>>> Spec <- portfolioSpec()
>>>> setSolver(Spec) = "solveRquadprog"
>>>> ...
>>>>
>>>> But this exactly leads to the Fortran error (because it's using package
>>>> "Rglpk"?)... So, how do I change the solver with setSolver(Spec) to use
>>>> package "quadprog" correctly?
>>>>
>>>> Unfortunately I did not find the correct function call in the fPortfolio
>>>> eBook...
>>>>
>>>> Thanks for your help in advance,
>>>>
>>>> Peter
>>>>
>>>> Sarbo wrote:
>>>>> In the meantime, why not use the "quadprog" package instead? It's
>>>>> pretty
>>>>> much the same thing, you just have to be a little more careful in
>>>>> setting out the optimisation problem.
>>>>>> On Sat, 2010-04-17 at 14:33 +0300, Peter Keller wrote:
>>>>>>> Yohan,
>>>>>> 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 >> be released?
>>>>>>
>>>>>> Have a nice weekend and best regards,
>>>>>>
>>>>>> Peter
>>>>>>
>>>>>> Yohan Chalabi wrote:
>>>>>>>>>>> "PK" == Peter Keller <podvalov at gmx.net <mailto:podvalov at gmx.net>>
>>>>>>>>>>> on Sat, 17 Apr 2010 14:07:29 +0300
>>>>>>> PK> Hi there,
>>>>>>> PK>
>>>>>>> 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>
>>>>>>> PK> How to replicate the problem on my PC:
>>>>>>> PK>
>>>>>>> PK> library(fPortfolio)
>>>>>>> PK> library(fEcofin)
>>>>>>> PK>
>>>>>>> PK> library(Rsymphony)
>>>>>>> PK> library(lpSolveAPI)
>>>>>>> PK>
>>>>>>> PK> djiData = as.timeSeries(DowJones30)
>>>>>>> PK> djiData.ret <- 100 * returns(djiData)
>>>>>>> PK> frontier <- portfolioFrontier(djiData.ret)
>>>>>>> PK>
>>>>>>> PK> I get then the error message:
>>>>>>> PK>
>>>>>>> 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>
>>>>>>> PK> I’ve installed R version 2.10.1 on Windows 7 (32 bit) with
>>>>>>> PK> updated CTV
>>>>>>> PK> Finance.
>>>>>>> PK>
>>>>>>> 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>
>>>>>>> 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>
>>>>>>> PK> Best regards,
>>>>>>> PK>
>>>>>>> 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 >>>
>>>>>>> http://r-forge.r-project.org/scm/?group_id=156
>>>>>>>
>>>>>>> Regards,
>>>>>>> Yohan
>>>>>>>
>>>>>>>
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