[GSoC-PortA] mixed integer constraints

[Ross Bennett]

On Fri, Jul 12, 2013 at 9:57 PM, Brian G. Peterson <brian at braverock.com>wrote:

>
>  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?
>>
>
> No, I just missed this code, this sounds right.  I'm not in front of the
> code right now, but have a couple questions:
> - is your method compatible with the one used by glpk?
>

Yes, I've implemented basic position limit constraints with max_pos for
problems to maximize return and minimize sample CVaR/ETL/ES using Rglpk.


> - does it support both long and short cardinality constraints? (e.g. from
> the total universe, 20 long and 20 short?)
>

Not quite, it just limits the total number of non-zero weights. I think I
should be able to implement this fairly easily in fn_map, but I'm not quite
sure how to set this up in Rglpk.


> - does it support group cardinality constraints? (e.g. max 5 technology,
> max 10 consumer goods, max 5 manufacturing, etc?)


No, I had not even considered this. I should be able to implement this in
the fn_map function and modify the group_fail function to check for the
number of assets per group.

Ross
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