[R-SIG-Finance] DEoptim MSGARCH

[Brian G. Peterson]

On 02/21/2014 03:27 PM, Bastian Offermann wrote:
> My question is more general: How would one take linear inequality
> constraints into account using DEoptim since the DEoptim function only
> allows box constraints? Couldnt find an optimizer so far that can handle
> box and linear inequality constraints.

That is indeed a very different question.

In DEoptim, this is supported via use of the mapping function specified 
via parameter fnMap.

For portfolio optimization, many additional constraint types, including 
linear and group inequality constraints, are supported directly for 
multiple optimization engines, including DEoptim, in the R-Forge package 
PortfolioAnalytics.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock