This looks like what I call a sumscale problem i.e., some sort of simple function of the parameters sums to a constant. I've done some work on these, but don't have it with me just now. There are several approaches, but they can be quite tricky. Will send some info in about a week or so if you are still stuck and contact me offline.
JN (you'll see my name on 3/5 of optim routines via ?optim) On 2018-05-03 01:52 PM, Michael Ashton 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.