[Returnanalytics-commits] r2558 - in pkg/PortfolioAnalytics: R man

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

Author: rossbennett34
Date: 2013-07-12 13:47:14 +0200 (Fri, 12 Jul 2013)
New Revision: 2558

Modified:
   pkg/PortfolioAnalytics/R/constraint_fn_map.R
   pkg/PortfolioAnalytics/man/fn_map.Rd
Log:
modifying fn_map to remove penalty terms for diversification and turnover constraints because this is now being handled in constrained_objective and we are using fn_map to return a tansformed weights vector

Modified: pkg/PortfolioAnalytics/R/constraint_fn_map.R
===================================================================
--- pkg/PortfolioAnalytics/R/constraint_fn_map.R	2013-07-12 11:42:25 UTC (rev 2557)
+++ pkg/PortfolioAnalytics/R/constraint_fn_map.R	2013-07-12 11:47:14 UTC (rev 2558)
@@ -30,7 +30,6 @@
 #' \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
 #' @export
@@ -59,11 +58,7 @@
   turnover_target <- constraints$turnover_target
   max_pos <- constraints$max_pos
   tolerance <- .Machine$double.eps^0.5
-  if(!hasArg(penalty)) penalty <- 1e4
-  if(!hasArg(multiplier)) multiplier <- 1
   
-  out <- 0
-  
   # We will modify the weights vector so create a temporary copy
   # modified for transformation or to relax constraints
   tmp_weights <- weights
@@ -193,36 +188,14 @@
       } # end try-error recovery
     } # end check for position limit constraint violation
   } # end check for NULL arguments
-  
-  # check diversification constraint
-  if(!is.null(div_target)){
-    # penalize instead of transform?
-    div <- diversification(tmp_weights)
-    # only penalize if not within +/- 5% of target
-    if((div < div_target * .95) | (div > div_target * 1.05)){
-      # print("transform or penalize to meet diversification target")
-      out = out + penalty * abs(multiplier) * abs(div - div_target)
-    }
-  }
-  
-  # check turnover constraint
-  if(!is.null(turnover_target)){
-    # penalize instead of transform
-    to <- turnover(tmp_weights)
-    # only penalize if not within +/- 5% of target
-    if((to < turnover_target * 0.95) | (to > turnover_target * 1.05)){
-      # print("transform or penalize to meet turnover target")
-      out = out + penalty * abs(multiplier) * abs(to - turnover_target)
-    }
-  }
+
   names(tmp_weights) <- names(weights)
   return(list(weights=tmp_weights, 
               min=tmp_min, 
               max=tmp_max, 
               cLO=tmp_cLO, 
               cUP=tmp_cUP, 
-              max_pos=tmp_max_pos, 
-              out=out))
+              max_pos=tmp_max_pos))
 }
 
 #' Transform weights that violate min or max box constraints

Modified: pkg/PortfolioAnalytics/man/fn_map.Rd
===================================================================
--- pkg/PortfolioAnalytics/man/fn_map.Rd	2013-07-12 11:42:25 UTC (rev 2557)
+++ pkg/PortfolioAnalytics/man/fn_map.Rd	2013-07-12 11:47:14 UTC (rev 2558)
@@ -20,8 +20,7 @@
   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} }
+  constraints that may have been modified if relax=TRUE} }
 }
 \description{
   The purpose of the mapping function is to transform a