[Returnanalytics-commits] r2526 - in pkg/PortfolioAnalytics: R man

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2013-07-09 02:35:39 +0200 (Tue, 09 Jul 2013)
New Revision: 2526

Modified:
   pkg/PortfolioAnalytics/R/constraint_fn_map.R
   pkg/PortfolioAnalytics/man/fn_map.Rd
Log:
Updating documentation and help file for fn_map function

Modified: pkg/PortfolioAnalytics/R/constraint_fn_map.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraint_fn_map.R	2013-07-09 00:16:27 UTC (rev 2525)
+++ pkg/PortfolioAnalytics/R/constraint_fn_map.R	2013-07-09 00:35:39 UTC (rev 2526)
@@ -12,15 +12,24 @@
 #' transformations will violate the box constraints, and we'll need to
 #' transform back again.
 #' 
-#' leverage, box, group, and position limit constraints are transformed
-#' diversification and turnover constraints are penalized
+#' If relax=TRUE, we will attempt to relax the constraints if a feasible 
+#' portfolio could not be formed with an initial call to \code{rp_transform}. 
+#' We will attempt to relax the constraints up to 5 times. If we do not have a 
+#' feasible portfolio after attempting to relax the constraints, then we will 
+#' default to returning the weights vector that violates the constraints.
 #' 
+#' Leverage, box, group, and position limit constraints are transformed. Diversification and turnover constraints are penalized
+#' 
 #' @param weights vector of weights
 #' @param portfolio object of class portfolio
-#' @param relax TRUE/FALSE, default FALSE. Enable constraints to be relaxed
+#' @param relax TRUE/FALSE, default FALSE. Enable constraints to be relaxed.
 #' @return 
 #' \itemize{
 #' \item{weights: }{vector of transformed weights meeting constraints}
+#' \item{min: }{vector of min box constraints that may have been modified if relax=TRUE}
+#' \item{max: }{vector of max box constraints that may have been modified if relax=TRUE}
+#' \item{cLO: }{vector of lower bound group constraints that may have been modified if relax=TRUE}
+#' \item{cUP: }{vector of upper bound group constraints that may have been modified if relax=TRUE}
 #' \item{out: }{penalty term}
 #' }
 #' @author Ross Bennett

Modified: pkg/PortfolioAnalytics/man/fn_map.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/fn_map.Rd	2013-07-09 00:16:27 UTC (rev 2525)
+++ pkg/PortfolioAnalytics/man/fn_map.Rd	2013-07-09 00:35:39 UTC (rev 2526)
@@ -2,16 +2,26 @@
 \alias{fn_map}
 \title{mapping function to transform or penalize weights that violate constraints}
 \usage{
-  fn_map(weights, portfolio, ...)
+  fn_map(weights, portfolio, relax = FALSE, ...)
 }
 \arguments{
   \item{weights}{vector of weights}
 
   \item{portfolio}{object of class portfolio}
+
+  \item{relax}{TRUE/FALSE, default FALSE. Enable
+  constraints to be relaxed.}
 }
 \value{
   \itemize{ \item{weights: }{vector of transformed weights
-  meeting constraints} \item{out: }{penalty term} }
+  meeting constraints} \item{min: }{vector of min box
+  constraints that may have been modified if relax=TRUE}
+  \item{max: }{vector of max box constraints that may have
+  been modified if relax=TRUE} \item{cLO: }{vector of lower
+  bound group constraints that may have been modified if
+  relax=TRUE} \item{cUP: }{vector of upper bound group
+  constraints that may have been modified if relax=TRUE}
+  \item{out: }{penalty term} }
 }
 \description{
   The purpose of the mapping function is to transform a
@@ -27,10 +37,16 @@
   violate the box constraints, and we'll need to transform
   back again.
 
-  This function will replace constraint_fn_map
+  If relax=TRUE, we will attempt to relax the constraints
+  if a feasible portfolio could not be formed with an
+  initial call to \code{rp_transform}. We will attempt to
+  relax the constraints up to 5 times. If we do not have a
+  feasible portfolio after attempting to relax the
+  constraints, then we will default to returning the
+  weights vector that violates the constraints.
 
-  leverage, box, group, and position limit constraints are
-  transformed diversification and turnover constraints are
+  Leverage, box, group, and position limit constraints are
+  transformed. Diversification and turnover constraints are
   penalized
 }
 \author{