[GSoC-PortA] ROI status

[Ross Bennett]

All,

I installed ROI.plugin.quadprog from R-forge successfully. I tried
installing ROI from R-forge, but got the following error.
* installing to library
‘/Library/Frameworks/R.framework/Versions/3.0/Resources/library’
* installing *source* package ‘ROI’ ...
ERROR: a 'NAMESPACE' file is required

Also, I am getting an NA for the unconstrained global minimum variance
solution. This used to work the way I am doing it with -Inf and Inf for the
lower and upper bounds. See attached script for a self-contained example of
how I implement this using ROI.

Let me know if this should be implemented differently.

Thanks,
Ross



On Wed, Nov 27, 2013 at 1:05 PM, Ross Bennett <rossbennett34 at gmail.com>wrote:

> This is great and I will go ahead and test. I was using solve.QP and Rglpk
> directly for a few of the objectives as a workaround so I will switch these
> back over to ROI.
>
> I'll report back if I run into any errors.
>
> Ross
>
>
> On Wed, Nov 27, 2013 at 12:25 PM, Brian G. Peterson <brian at braverock.com>wrote:
>
>> Stefan,
>>
>> Thank you.  We'll certainly get the latest from R-Forge and test.  We
>> have a reasonably complete set of demo and test scripts at this point,
>> which hopefully would uncover any problems.
>>
>> Regards,
>>
>> Brian
>>
>> n 11/26/2013 07:29 AM, Stefan Theussl wrote:
>>
>>> Hi Brian,
>>>
>>> I recently improved ROI and their plugins. I will submit them to CRAN
>>> today or tomorrow. It would be great if you checked the current version
>>> of ROI and plugins (glpk, symphony, quadprog) with your framework. It
>>> would help me a lot in testing it.
>>>
>>> Anyway, I am about to implement further tests right now. But as always:
>>> the more the better ...
>>>
>>> Best,
>>> st
>>>
>>>
>>> On Tue, Oct 29, 2013 at 8:36 PM, Stefan Theussl
>>> <stefan.theussl at gmail.com <mailto:stefan.theussl at gmail.com>> wrote:
>>>
>>>     Hello Brian,
>>>
>>>     thanks, all good here. How are you?
>>>
>>>     ROI is definitely not to be abandoned. Nevertheless, I have to admit
>>>     that I have not worked on it for a longer time due to time
>>>     constraints. Only an update of Rglpk made it to CRAN some time ago.
>>>
>>>     Anyway, I just put the ROI plugin to quadprog on top of my TODO
>>>     list. I am looking forward to using PortfolioAnalytics myself and I
>>>     appreciate the plan, that ROI might be part of it.
>>>
>>>     Best,
>>>     Stefan
>>>
>>>
>>>     On Sun, Oct 27, 2013 at 8:11 PM, Brian G. Peterson
>>>
>>>     <brian at braverock.com <mailto:brian at braverock.com>> wrote:
>>>
>>>         Stefan,
>>>
>>>         I hope things are well with you.
>>>
>>>         I'm writing to ask what your plans are longer term for ROI.
>>>
>>>         Kurt indicated that you are still working on it, but there have
>>>         been almost no changes in the last year.
>>>
>>>         Specifically, the change that we worked on with you a year ago
>>>         for the quadprog plugin has not made it to CRAN.
>>>
>>>         More generally, if ROI is to be abandoned, I need to start
>>>         planning for significant changes to PortfolioAnalytics before I
>>>         send it to CRAN, as we now use ROI almost exclusively for
>>>         solvers that are supported by ROI.
>>>
>>>         I think the framework is valuable, and I hope that you can move
>>>         the quadprog fix to CRAN, and let me know how the package is to
>>>         be maintained long-term.
>>>
>>>         Best Regards,
>>>
>>>         Brian
>>>
>>>         --
>>>         Brian G. Peterson
>>>         http://braverock.com/brian/
>>>         Ph: 773-459-4973 <tel:773-459-4973>
>>>         IM: bgpbraverock
>>>
>>>
>>>
>>>
>>
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>> _______________________________________________
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>> GSoC-PortA at lists.r-forge.r-project.org
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>>
>
>
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