[GSoC-PortA] ROI status

Thu Nov 28 00:23:06 CET 2013

Hi,

thanks for testing. Indeed one needs the latest version of ROI, otherwise
the plugins might not work as expected (I added corresponding version
dependencies to the DESCRIPTION files of the plugins).

Since R-Forge does not understand roxygen2, package documentation adn
NAMESPACE are not built. This is why ROI must be built from SVN directly. I
send you the package attached.

Also, with the latest version variable bounds are constructed using a
specific constructor function. see the modified version of your script. One
issue with the quadprog plugin still remains, namely that the unbounded QP
as defined in your script is not solvable. Looking through the code I can
imagine where this might happen (ROI:::as.no_V_bound_OP()). I will check
this in the morning.

cheers,
st

On Wed, Nov 27, 2013 at 11:22 PM, Ross Bennett <rossbennett34 at gmail.com>wrote:

> 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
>>> _______________________________________________
>>> GSoC-PortA mailing list
>>> GSoC-PortA at lists.r-forge.r-project.org
>>> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta
>>>
>>
>>
>
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