[Deoptim-commits] r105 - pkg/DEoptim/sandbox

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

Author: bodanker
Date: 2012-06-16 03:27:23 +0200 (Sat, 16 Jun 2012)
New Revision: 105

Added:
   pkg/DEoptim/sandbox/slimLargeN_map.R
Log:
- Add mapping functionality example file to sandbox/


Added: pkg/DEoptim/sandbox/slimLargeN_map.R
===================================================================
--- pkg/DEoptim/sandbox/slimLargeN_map.R	                        (rev 0)
+++ pkg/DEoptim/sandbox/slimLargeN_map.R	2012-06-16 01:27:23 UTC (rev 105)
@@ -0,0 +1,58 @@
+setwd("~/R/packages/deoptim/pkg/DEoptim/sandbox")
+suppressMessages({
+library(PerformanceAnalytics)
+library(DEoptim)
+})
+
+load("10y_returns.rda")
+load("random_portfolios.rda")
+
+rng <- 1:20
+R <- R[,rng]
+rp <- rp[1:200,rng]
+
+mu <- colMeans(R)
+sigma <- cov(R)
+N <- ncol(R)
+lower <- rep(0,N) 
+upper <- rep(1,N)
+
+obj <- function(w) {
+  if(sum(w)==0) w <- w + 1e-2
+  w <- w / sum(w)
+  CVaR <- ES(weights=w, method="gaussian",
+    portfolio_method="component", mu=mu, sigma=sigma)
+  tmp1 <- CVaR$ES
+  tmp2 <- max(CVaR$pct_contrib_ES - 0.05, 0)
+  out <- tmp1 + 1e3 * tmp2
+  return(out)
+}
+
+controlDE <- list(
+  NP = nrow(rp), initialpop = rp, trace = 10, itermax = 50,
+  reltol = 0.000001, steptol = 150, c = 0.4, strategy = 6 )
+
+set.seed(1234) # reset random chain before DE step
+system.time(out1 <- DEoptim(fn=obj, lower=lower, upper=upper, control=controlDE))
+out1$optim$iter
+out1$optim$bestval
+
+# this should throw a ton of warnings
+set.seed(1234)
+system.time(out <- DEoptim(fn=obj, lower=lower, upper=upper,
+  control=controlDE, fnMap=function(x) 1:length(x)))
+out$optim$iter
+out$optim$bestval
+
+# trivial full-investment function
+mappingFun <- function(x) {
+  x[which(order(x) < 6)] <- 0
+  x <- round(x,2) # produce some dups
+  x/sum(x)
+}
+set.seed(1234)
+system.time(out <- DEoptim(fn=obj, lower=lower,
+  upper=upper, control=controlDE, fnMap=mappingFun))
+out$optim$iter
+out$optim$bestval
+