Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-)
> On May 3, 2018, at 3:01 PM, Bert Gunter <bgunter.4...@gmail.com> wrote: > > You can't -- at least as I read the docs for ?optim (but I'm pretty > ignorant about this, so maybe there's a way to tweak it so you can). > > See here: https://cran.r-project.org/web/views/Optimization.html > for other R optimization capabilities. > > Also, given your credentials, the r-sig-finance list might be a > better place for you to post your query. > > Cheers, > Bert > > > Bert Gunter > > "The trouble with having an open mind is that people keep coming along > and sticking things into it." > -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) > > > On Thu, May 3, 2018 at 10:52 AM, Michael Ashton > <m.ash...@enduringinvestments.com> wrote: >> Hi โ >> >> This is giving me a headache. Iโm trying to do a relatively simple >> optimization โ actually trying to approximate the output from the Excel >> Solver function but at roughly 1000x the speed. ๐ >> >> The optimization parameters look like this. The only trouble is that I want >> to add a constraint that sum(wgt.vect)=1, and I canโt figure out how to do >> that in optim. >> >> Mo.vect <- as.vector(tail(head(mo,i),1)) >> wgt.vect <- as.vector(tail(head(moWeightsMax,i),1)) >> cov.mat <- cov(tail(head(morets,i+12),12)) >> opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect) >> %*% (cov.mat %*% wgt.vect)) >> >> LowerBounds<-c(0.2,0.05,0.1,0,0,0) >> UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) >> >> OptimSolution<-optim(wgt.vect, fn=opt.fun, >> method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds) >> >> >> Any thoughts are appreciated! >> >> Mike >> >> Michael Ashton, CFA >> Managing Principal >> >> Enduring Investments LLC >> W: 973.457.4602 >> C: 551.655.8006 >> >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.