[R] adding overall constraint in optim()

[Michael Ashton]

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.4567 using 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.ashton using enduringinvestments.com> wrote:
>> Hi –
>> 
>> This is giving me a headache. I’m trying to do a relatively simple optimization – actually trying to approximate the output from the Excel Solver function but at roughly 1000x the speed. 😊
>> 
>> The optimization parameters look like this. The only trouble is that I want to add a constraint that sum(wgt.vect)=1, and I can’t 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
>> 
>> 
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>> 
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