[R-SIG-Finance] the package nmof
mmm ammm
mmm@mmm1900 @end|ng |rom gm@||@com
Mon Jan 28 18:49:36 CET 2019
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
>
More information about the R-SIG-Finance
mailing list