[GSoC-PortA] Objective Function: mean vs. pamean

[Peter Carl]

We could either use multipliers in the objective fctn or annualized in post processing.  The latter has the issue of balancing against ES.  Good to know, though.  pcc

Sent from my HTC Inspire™ 4G on AT&T

----- Reply message -----
From: "Brian G. Peterson" <brian at braverock.com>
To: <gsoc-porta at r-forge.wu-wien.ac.at>
Subject: [GSoC-PortA] Objective Function: mean vs. pamean
Date: Fri, Aug 16, 2013 7:11 pm


On 08/16/2013 07:09 PM, Ross Bennett wrote:
> All,
>
> This isn't critical or important, but thought I would put this out there
> to the group. I was running some of the examples from the 2012 workshop
> script and noticed that any optimization I ran with pamean was really slow.
>
> In commit r2802 I added a testing script
> sandbox/testing_mean_vs_pamean.R that has a simple example comparing the
> two. In my simple benchmark, pamean is about 50 times slower.
> Intuitively I would expect pamean to be slower, but not *that* much slower.
>
> Is this normal? Any idea why this is so slow?


I've never timed it.

It was a simple example of an annualized mean function.

I'm sure it could be easily improved if we took a closer look at it.

Thanks for the heads up.


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
_______________________________________________
GSoC-PortA mailing list
GSoC-PortA at lists.r-forge.r-project.org
http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/gsoc-porta/attachments/20130817/e5a0fb4c/attachment.html>