[Returnanalytics-commits] r2554 - in pkg/PortfolioAnalytics: R sandbox

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

Author: rossbennett34
Date: 2013-07-12 05:12:18 +0200 (Fri, 12 Jul 2013)
New Revision: 2554

Modified:
   pkg/PortfolioAnalytics/R/optimize.portfolio.R
   pkg/PortfolioAnalytics/sandbox/testing_DEoptim_cardinality_constraint.R
Log:
modifying optimze.portfolio_v2 for method=DEoptim to pass fn_map to optional fnMap function and force normalize=FALSE in call to constrained_objective

Modified: pkg/PortfolioAnalytics/R/optimize.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/optimize.portfolio.R	2013-07-12 03:02:10 UTC (rev 2553)
+++ pkg/PortfolioAnalytics/R/optimize.portfolio.R	2013-07-12 03:12:18 UTC (rev 2554)
@@ -667,8 +667,9 @@
     }
     controlDE <- do.call(DEoptim.control, DEcformals)
     
-    # need to modify constrained_objective to accept a portfolio object
-    minw = try(DEoptim( constrained_objective_v2,  lower=lower[1:N], upper=upper[1:N], control=controlDE, R=R, portfolio=portfolio, nargs = dotargs , ...=...)) # add ,silent=TRUE here?
+    # We are passing fn_map to the optional fnMap function to do the 
+    # transformation so we need to force normalize=FALSE in call to constrained_objective
+    minw = try(DEoptim( constrained_objective_v2,  lower=lower[1:N], upper=upper[1:N], control=controlDE, R=R, portfolio=portfolio, nargs = dotargs , ...=..., normalize=FALSE, fnMap=function(x) fn_map(x, portfolio=portfolio))) # add ,silent=TRUE here?
     
     if(inherits(minw, "try-error")) { minw=NULL }
     if(is.null(minw)){
@@ -679,10 +680,11 @@
     if(isTRUE(tmptrace)) trace <- tmptrace
     
     weights <- as.vector(minw$optim$bestmem)
+    # is it necessary to normalize the weights here?
     weights <- normalize_weights(weights)
     names(weights) <- colnames(R)
     
-    out <- list(weights=weights, objective_measures=constrained_objective_v2(w=weights, R=R, portfolio, trace=TRUE)$objective_measures, out=minw$optim$bestval, call=call)
+    out <- list(weights=weights, objective_measures=constrained_objective_v2(w=weights, R=R, portfolio, trace=TRUE, normalize=FALSE)$objective_measures, out=minw$optim$bestval, call=call)
     if (isTRUE(trace)){
       out$DEoutput <- minw
       out$DEoptim_objective_results <- try(get('.objectivestorage',pos='.GlobalEnv'),silent=TRUE)

Modified: pkg/PortfolioAnalytics/sandbox/testing_DEoptim_cardinality_constraint.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_DEoptim_cardinality_constraint.R	2013-07-12 03:02:10 UTC (rev 2553)
+++ pkg/PortfolioAnalytics/sandbox/testing_DEoptim_cardinality_constraint.R	2013-07-12 03:12:18 UTC (rev 2554)
@@ -58,7 +58,7 @@
 
 # Implement a cardinality constraint for max positions with DEoptim
 # http://grokbase.com/t/r/r-help/126fsz99gh/r-deoptim-example-illustrating-use-of-fnmap-parameter-for-enforcement-of-cardinality-constraints
-mappingFun <- function(x, max.pos=10) {
+mappingFun <- function(x, max.pos) {
   N <- length(x)
   num <- N - max.pos
   # Two smallest weights are given a value of 0
@@ -66,7 +66,7 @@
   x / sum(x)
 }
 
-out2 <- DEoptim(fn = obj, lower=lower, upper=upper, control=controlDE, fnMap=mappingFun)
+out2 <- DEoptim(fn = obj, lower=lower, upper=upper, control=controlDE, fnMap=function(x) mappingFun(x, max.pos=10))
 weights2 <- out2$optim$bestmem
 weights2 <- weights2 / sum(weights2)
 out2$optim$bestval