[R-SIG-Finance] the package nmof

[mmm ammm]

Dear Enrico,
Thank you so much. It works now.
But, the function DEopt worked without changing this setting and gave
approximately the same result; could you please explain this for me?

Many thanks


On 26/01/2019, Enrico Schumann <es using enricoschumann.net> wrote:
>>>>>> "m" == mmm ammm <mmmammm1900 using gmail.com> writes:
>
>     m> Dear all,
>     m> i'm hoping that one of you can help me in the following code that is
>     m> used for asset selection based on nmof package and please guide me
>     m> where is the mistake:
>
>     m> the error message is: "Error in colSums(x) : 'x' must be an array of
>     m> at least two dimensions".
>
>     m> The entire code is below (it works with DEopt) but does not with
> PSO;
>     m> it is for asset selection exaclty from the package nmof.
>
>     m> require("NMOF")
>     m> na<-31
>
>     m> nn<- read.table("n.txt") # n is the a 31*31 matrix.
>     m> Sigma <- data.matrix(nn)
>
>     m> OF2 <- function(x, data) {
>     m> #  res <- colSums (data$Sigma %*% x * x)
>     m> res <- colSums (Sigma %*% x * x)
>     m> #z<-c(x,x)
>     m> n <- colSums (x); res <- res / n^2
>     m> }
>     m> #######  pso  #############
>     m> data <- list(
>     m> na = na,
>     m> max = rep( 0.05, na),
>     m> min = rep(-0.05, na)
>     m> )
>     m> algo <- list(nP = 31L,
>     m> nG = 1000L,
>     m> c1 = 0.5,
>     m> c2 = 1.5,
>     m> #min = data$min, max = data$max,
>     m> max = rep( 0.05, na), min = rep(-0.05, na),
>     m> #repair = repair, pen = penalty,
>     m> iner = 0.7, initV = 1, maxV = 0.2
>     m> #printBar = FALSE, printDetail = TRUE
>     m> )
>     m> #x<-array(x, c(2,2))
>
>     m> system.time(sol <- PSopt(OF = OF2,algo = algo, data))
>
> You could get rid of the error by setting 'loopOF' to
> FALSE (as part of the settings passed with list
> 'algo'). I will explain below what this setting does.
>
> But in any case, are you sure your objective function
> does what it should?  If I read it correctly, it
> assumes that 'x' is logical. But both DEopt and PSopt
> work with numeric (i.e. real-valued) vectors.
>
> What 'loopOF' does: Differential Evolution and Particle
> Swarm Optimisation are multiple-solution methods, aka
> population-based methods. The NMOF implementations
> 'DEopt' and 'PSopt' arrange the populations as
> matrices; every column in such a matrix represents one
> solution.  To compute the objective function of the
> solutions, with the default settings both 'DEopt' and
> 'PSopt' use a loop. The objective function should thus
> receive a single solution as input, and should evaluate
> to a single number.
>
> Sometimes an objective function may be computed for the
> whole population (i.e. all solutions) in one step. In
> such a case, the objective function should expect the
> population matrix (i.e. all solutions) as input, and
> should evaluate to a vector: the objective-function
> values corresponding to the columns of the population
> matrix.  However, since the user specifies the
> objective function, 'DEopt'/'PSopt' cannot know
> automatically in what way the objective function is
> written; so you need to tell the functions by setting
> 'loopOF' to TRUE (the default) or to FALSE.
>
> kind regards
>      Enrico
>
>
> --
> Enrico Schumann (maintainer of package NMOF)
> Lucerne, Switzerland
> http://enricoschumann.net
>