[GSoC-PortA] mixed integer constraints

[Doug Martin]

This one is a high priority from my point of view.  My intention is to have
a chapter on "advanced" constraints (and penalties TBD, e.g., robust
portfolio optimization a la Axioma) that includes the two basic variants of
turnover constraints, plus one with fixed costs that makes it a MIP problem,
plus best k-out-of-n assets, and maybe some.

FYI, I have written the first two sections of chapter 1 on MVO theory primer
with placeholders for the other sections (I will send it shortly), and will
start chapter 2 which uses solve.QP and Rglpk_solve_LP for long-only, box
and group constraints, now thinking to use those only through
PortfolioAnalytics and maybe add a couple of problems to use them directly.
Want to finish that chapter by end of next week, and in the process will be
mainly  about user experience aspects of PA and  make suggestions on same
(probably mostly repeats) that will be important to feel comfortable about
the text in Chapter 2.

Doug



-----Original Message-----
From: gsoc-porta-bounces at lists.r-forge.r-project.org
[mailto:gsoc-porta-bounces at lists.r-forge.r-project.org] On Behalf Of Brian
G. Peterson
Sent: Friday, July 12, 2013 8:49 AM
To: PortfolioAnalytics
Subject: Re: [GSoC-PortA] mixed integer constraints

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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