ROI::ROI_solve( problem, solver, control, ... ) DEoptim::DEoptim() # differential evolution!
Rsolnp # general non-linear optimisation This is from my R conspects. Can try to take a look at those. For your problem quadprog might be the best option regarding speed. I like DEoptim a lot, but I use it for more complicated problems when I can not find simpler solution. Try adjusting parameters of it, it has 5 or 6 different approaches to the problem. Adding jitter helps in some cases(might slow process a bit, but not sure). I used it when I was optimising with respect to non-linear functions of portfolio evolution as drawdown. Kind regards,-- Dominykas Grigonis On Thursday, 6 June 2013 at 07:55, Bastian Offermann wrote: > Hi all, > I am working on a large scale portfolio optimization problem with up to > 500 assets. My objective function is simple > > w*returns - 1/2 * 1/constant * w * Matrix * w > > subject to sum(w) == 1 and w is a vector of weights with 0 <= w[i] <= 1 > for all i = 1, ..., n. > > I have tried quadprog, alabama and DEoptim. What are your experiences > with those and possibly other options? > Thanks in advance! > > _______________________________________________ > [email protected] (mailto:[email protected]) mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
