[GSoC-PortA] mixed integer constraints

[Ross Bennett]

Round Lot Constraints
Just thinking through out loud how to incorporate this into fn_map. The sum
of portfolio weights would still sum to near 1 for a full investment
constraint. We would need a user input value of total wealth to calculate
the lots.
The constraint could be specified with something like:
add.constraint(portfolio, type="round_lot", total_wealth=1500000)

# randomly generate some weights
set.seed(123)
tmp <- runif(5)
w <- tmp/sum(tmp)

total_wealth <- 1200000

# round the lot values to the nearest integer
lots <- round(w * total_wealth, 0)

# calculate the new weights
new_w <- lots/sum(lots)

Am I on the right track for the round lot constraints?

Cardinality Constraints
I thought I had a good handle on cardinality constraints to set a limit on
the maximum number of positions. This is implemented in random_portfolios
by using fn_map and specifying max_pos as a position limit constraint. This
is also currently working with DEoptim by using the optional function
argument fnMap=fn_map. This is not doable with quadprog. This is supported
in rglpk. I suppose we can use the fn_map function for the other solvers,
pso and GenSA. Am I missing a different application of cardinality
constraint?

P.S. Enjoy your trip to Alaska!

Regards,
Ross


On Fri, Jul 12, 2013 at 10:49 AM, Brian G. Peterson <brian at braverock.com>wrote:

> On 07/12/2013 10:30 AM, Brian G. Peterson wrote:
>
>> I just realized that we haven't done any work on mixed integer
>> constraints, forcing weights to be round numbers.
>>
>> Trivial to do in fn_map, and supported by a handful of optimization
>> solvers, but I didn't want to forget it.
>>
>
> I suppose the other one to look at in this vein is cardinality constraints.
>
> --
> Brian
>
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