[GSoC-PortA] Quick question on multipliers and constrained_objective()

[Brian G. Peterson]

On 06/23/2013 07:28 PM, Doug Martin wrote:
> I just added a testing script to match your examples in your 1. theory
> review weights constrained mvo v5.pdf slides (attached). See committed
> revision 2402 with sandbox/testing_ROI_Martin.R. Currently, the user
> just chooses optimize_method="ROI" and optimize.portfolio() takes care
> of choosing the ROI plugin for solve.QP or Rglpk_solve_LP based on the
> objectives specified.
>
> */[Doug] I guess you mean that rev. 2402 still requires use of the
> argument optimize_method=”ROI”.  I’m wondering if my earlier assumption
> from last summer that the code could be changed so that we don’t have to
> specify ROI in an argument. /*
>
> */Brian, what is your opinion on this?/*
>

optimize_method allows the user to specify any of the many solvers 
supported by PortfolioAnalytics.  Over time, I expect then number of 
solvers to continue to increase, either through addition of new solvers 
to ROI (which I expect) or through addition of solvers directly to 
PortfolioAnalytics.

If and when we can detect the most efficient/accurate solver for a 
particular combination of objectives and constraints, I'd suggest 
changing the default for optimize_method from 'random' to 'auto'.  If we 
have time to get to this this summer, that would be fantastic. 
Otherwise, we can come back to it later in the year.

Generally, I think that more exact solvers should be used when 
constraints/objectives line up to something that can be solved by a 
linear, conical, or quadratic solver.  For global solvers, 'random' 
gives a good intuitive overview of the entire feasible space while 
'DEoptim' will provide the most accurate answer in a complex constraint 
or multi-objective space.

My personal testing of 'soma' and 'pso' left me underwhelmed,  though it 
is possible that has more to do with the default settings being poor for 
portfolio optmization than with any inherent limitations.

Regards,

Brian



-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock