[R-SIG-Finance] the package nmof

[mmm ammm]

Many thanks Enrico for your help.

On 28/01/2019, Enrico Schumann <es using enricoschumann.net> wrote:
>>>>>> "m" == mmm ammm <mmmammm1900 using gmail.com> writes:
>
>     m> Dear Enrico,
>     m> Thank you so much. It works now.
>     m> But, the function DEopt worked without changing this setting and
> gave
>     m> approximately the same result; could you please explain this for me?
>
>     m> Many thanks
>
> The reason is that 'DEopt' does not drop the dimension
> when a solution is selected and passed to the objective
> function; a single solution remains a matrix (of one
> column).
>
> Such a conversion is simple to do in the objective
> function: use 'as.matrix()' to create a column vector;
> or 'c()' or 'drop()' to drop the dimension and create a
> vector.
>
> kind regards
>      Enrico
>
>     m> 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
>     >>
>
> --
> Enrico Schumann
> Lucerne, Switzerland
> http://enricoschumann.net
>