[Returnanalytics-commits] r2501 - pkg/PerformanceAnalytics/sandbox/pulkit/week1/code

[noreply at r-forge.r-project.org]

Author: pulkit
Date: 2013-07-05 09:59:10 +0200 (Fri, 05 Jul 2013)
New Revision: 2501

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c
Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R
Log:
Added c code for PSR Optimization

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py	2013-07-04 18:03:37 UTC (rev 2500)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py	2013-07-05 07:59:10 UTC (rev 2501)
@@ -3,6 +3,7 @@
 # On 20121128 by MLdP <lopezdeprado at lbl.gov>
 
 import numpy as np
+import time
 #-------------------------------------------
 #-------------------------------------------
 class PSR_Opt:
@@ -143,7 +144,10 @@
     
     #3) Create class and solve
     psrOpt=PSR_Opt(series,seed,delta,maxIter,bounds)
+    start = time.time()
     psrOpt.optimize()
+    end = time.time()
+    print(end-start)
     
     #4) Optimize and report optimal portfolio
     print 'Maximized Z-value: '+str(psrOpt.z)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R	2013-07-04 18:03:37 UTC (rev 2500)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSRopt.R	2013-07-05 07:59:10 UTC (rev 2501)
@@ -47,7 +47,6 @@
         while(TRUE){
             if(iter == MaxIter) break
             dZ = get_d1Zs(mean,weights)
-            print(dZ$z)
             if(dZ$z>z && checkBounds(weights)==TRUE){
                 z = dZ$z
                 d1z = dZ$d1Z    
@@ -84,13 +83,13 @@
     }
     #To get the first differentials
     get_d1Zs<-function(mean,weights){
-        d1Z = NULL
-        m = NULL
+        d1Z = numeric(columns)
+        m = numeric(4)
         x_portfolio = x%*%weights
 
         m[1] = get_Moments(x_portfolio,1)
         for(i in 2:4){
-            m = c(m,get_Moments(x_portfolio,i,m[1]))
+            m[i] = get_Moments(x_portfolio,i,m[1])
         }
         stats = get_Stats(m)
         #mu = mean(x_portfolio)
@@ -104,7 +103,7 @@
         sigmaSR = SR$sigmaSR
 
         for(i in 1:columns){
-            d1Z = c(d1Z,get_d1Z(stats,m,meanSR,sigmaSR,mean,weights,i))
+            d1Z[i] = get_d1Z(stats,m,meanSR,sigmaSR,mean,weights,i)
         }
         dZ = list("d1Z"=d1Z,"z"=meanSR/sigmaSR)
 
@@ -153,15 +152,20 @@
             x0 = x0*(mOrder-i)
         }
         x_mat = as.matrix(na.omit(x))
-        for(i in 1:n){
-            x1 = 0
-            x2 = (x_mat[i,index]-mean[index])^dOrder
-            for(j in 1:columns){
-                x1 = x1 + weights[j]*(x_mat[i,j]-mean[j])
-            }
-        sum = sum + x2*x1^(mOrder-dOrder)
-        }
-        return(x0*sum/n)
+        sum = 0
+        output = .Call("sums",mat = x_mat,index,mean,dOrder,weights,mOrder,sum)
+       #for(i in 1:n){
+         #   x1 = 0
+         #   x2 = (x_mat[i,index]-mean[index])^dOrder
+            #if(index == 1){
+            #    print(x2)
+            #}
+          #  for(j in 1:columns){
+          #      x1 = x1 + weights[j]*(x_mat[i,j]-mean[j])
+          #  }
+       # sum = sum + x2*x1^(mOrder-dOrder)
+       # }
+        return(x0*(output)/n)
     }
 
     # TO get meanSR and sigmaSR
@@ -181,7 +185,6 @@
         }
         return(sum/n)
     }
-
     weights = optimize()
     result = matrix(weights,nrow = columns)
     rownames(result) = columnnames
@@ -191,6 +194,3 @@
 
 
 
-
-
-

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/moment.c	2013-07-05 07:59:10 UTC (rev 2501)
@@ -0,0 +1,34 @@
+#include<R.h>
+#include<Rinternals.h>
+#include<Rmath.h>
+
+SEXP sums(SEXP mat,SEXP index,SEXP Rmean,SEXP dOrder,SEXP Rweights,SEXP mOrder,SEXP sum){
+    double x1,x2,diff;
+    int a,b,row,column;
+    SEXP Rdim = getAttrib(mat,R_DimSymbol);
+    row = INTEGER(Rdim)[0];
+    column = INTEGER(Rdim)[1];
+    mat = coerceVector(mat,REALSXP);
+    dOrder = coerceVector(dOrder,INTSXP);
+    mOrder = coerceVector(mOrder,INTSXP);
+    index = coerceVector(index,INTSXP);
+    int ind = INTEGER(index)[0];
+    int d = INTEGER(dOrder)[0];
+    int m = INTEGER(mOrder)[0];
+    double *mean = REAL(Rmean);
+    double *weights = REAL(Rweights);
+    double s = 0;
+    for(a = 0;a<row;a++){
+        x1 = 0;
+        diff = REAL(mat)[a+row*(ind-1)]-mean[ind-1];
+        x2 = pow(diff,d);
+        for(b = 0;b<column;b++){
+            x1 = x1 + weights[b]*(REAL(mat)[a + row*b]-mean[b]);
+        }
+        s = s +x2*pow(x1,m-d);
+    }
+    REAL(sum)[0] = s;
+    return sum;
+}
+
+