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.