[Returnanalytics-commits] r2685 - pkg/PortfolioAnalytics/R
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Jul 31 19:20:39 CEST 2013
Author: rossbennett34
Date: 2013-07-31 19:20:38 +0200 (Wed, 31 Jul 2013)
New Revision: 2685
Modified:
pkg/PortfolioAnalytics/R/optimize.portfolio.R
pkg/PortfolioAnalytics/R/random_portfolios.R
Log:
modifying v1 of random portfolios and optimize.portfolio for backwards compatibility
Modified: pkg/PortfolioAnalytics/R/optimize.portfolio.R
===================================================================
--- pkg/PortfolioAnalytics/R/optimize.portfolio.R 2013-07-31 16:54:17 UTC (rev 2684)
+++ pkg/PortfolioAnalytics/R/optimize.portfolio.R 2013-07-31 17:20:38 UTC (rev 2685)
@@ -73,7 +73,7 @@
search_size=20000,
trace=FALSE, ...,
rp=NULL,
- momentFUN='set.portfolio.moments'
+ momentFUN='set.portfolio.moments_v1'
)
{
optimize_method=optimize_method[1]
@@ -203,13 +203,13 @@
if(hasArg(eps)) eps=match.call(expand.dots=TRUE)$eps else eps = 0.01
rpconstraint<-constraint(assets=length(lower), min_sum=constraints$min_sum-eps, max_sum=constraints$max_sum+eps,
min=lower, max=upper, weight_seq=generatesequence())
- rp<- random_portfolios(rpconstraints=rpconstraint,permutations=NP)
+ rp <- random_portfolios_v1(rpconstraints=rpconstraint,permutations=NP)
DEcformals$initialpop=rp
}
controlDE <- do.call(DEoptim.control,DEcformals)
# minw = try(DEoptim( constrained_objective , lower = lower[1:N] , upper = upper[1:N] , control = controlDE, R=R, constraints=constraints, ...=...)) # add ,silent=TRUE here?
- minw = try(DEoptim( constrained_objective , lower = lower[1:N] , upper = upper[1:N] , control = controlDE, R=R, constraints=constraints, nargs = dotargs , ...=...)) # add ,silent=TRUE here?
+ minw = try(DEoptim( constrained_objective_v1 , lower = lower[1:N] , upper = upper[1:N] , control = controlDE, R=R, constraints=constraints, nargs = dotargs , ...=...)) # add ,silent=TRUE here?
if(inherits(minw,"try-error")) { minw=NULL }
if(is.null(minw)){
@@ -223,7 +223,7 @@
weights <- normalize_weights(weights)
names(weights) = colnames(R)
- out = list(weights=weights, objective_measures=constrained_objective(w=weights,R=R,constraints,trace=TRUE)$objective_measures,out=minw$optim$bestval, call=call)
+ out = list(weights=weights, objective_measures=constrained_objective_v1(w=weights,R=R,constraints,trace=TRUE)$objective_measures,out=minw$optim$bestval, call=call)
if (isTRUE(trace)){
out$DEoutput=minw
out$DEoptim_objective_results<-try(get('.objectivestorage',pos='.GlobalEnv'),silent=TRUE)
@@ -236,15 +236,15 @@
if(optimize_method=="random"){
#' call random_portfolios() with constraints and search_size to create matrix of portfolios
if(missing(rp) | is.null(rp)){
- rp<-random_portfolios(rpconstraints=constraints,permutations=search_size)
+ rp<-random_portfolios_v1(rpconstraints=constraints,permutations=search_size)
}
#' store matrix in out if trace=TRUE
if (isTRUE(trace)) out$random_portfolios<-rp
#' write foreach loop to call constrained_objective() with each portfolio
if ("package:foreach" %in% search() & !hasArg(parallel)){
- rp_objective_results<-foreach(ii=1:nrow(rp), .errorhandling='pass') %dopar% constrained_objective(w=rp[ii,],R,constraints,trace=trace,...=dotargs)
+ rp_objective_results<-foreach(ii=1:nrow(rp), .errorhandling='pass') %dopar% constrained_objective_v1(w=rp[ii,],R,constraints,trace=trace,...=dotargs)
} else {
- rp_objective_results<-apply(rp, 1, constrained_objective, R=R, constraints=constraints, trace=trace, ...=dotargs)
+ rp_objective_results<-apply(rp, 1, constrained_objective_v1, R=R, constraints=constraints, trace=trace, ...=dotargs)
}
#' if trace=TRUE , store results of foreach in out$random_results
if(isTRUE(trace)) out$random_portfolio_objective_results<-rp_objective_results
@@ -267,7 +267,7 @@
}
#' re-call constrained_objective on the best portfolio, as above in DEoptim, with trace=TRUE to get results for out list
out$weights<-min_objective_weights
- out$objective_measures<-try(constrained_objective(w=min_objective_weights,R=R,constraints,trace=TRUE)$objective_measures)
+ out$objective_measures<-try(constrained_objective_v1(w=min_objective_weights,R=R,constraints,trace=TRUE)$objective_measures)
out$call<-call
#' construct out list to be as similar as possible to DEoptim list, within reason
@@ -391,7 +391,7 @@
upper <- constraints$max
lower <- constraints$min
- minw = try(psoptim( par = rep(NA, N), fn = constrained_objective , R=R, constraints=constraints,
+ minw = try(psoptim( par = rep(NA, N), fn = constrained_objective_v1 , R=R, constraints=constraints,
lower = lower[1:N] , upper = upper[1:N] , control = controlPSO)) # add ,silent=TRUE here?
if(inherits(minw,"try-error")) { minw=NULL }
@@ -405,7 +405,7 @@
names(weights) <- colnames(R)
out = list(weights=weights,
- objective_measures=constrained_objective(w=weights,R=R,constraints,trace=TRUE)$objective_measures,
+ objective_measures=constrained_objective_v1(w=weights,R=R,constraints,trace=TRUE)$objective_measures,
out=minw$value,
call=call)
if (isTRUE(trace)){
@@ -437,7 +437,7 @@
lower <- constraints$min
minw = try(GenSA( par = rep(1/N, N), lower = lower[1:N] , upper = upper[1:N], control = controlGenSA,
- fn = constrained_objective , R=R, constraints=constraints)) # add ,silent=TRUE here?
+ fn = constrained_objective_v1 , R=R, constraints=constraints)) # add ,silent=TRUE here?
if(inherits(minw,"try-error")) { minw=NULL }
if(is.null(minw)){
@@ -450,7 +450,7 @@
names(weights) <- colnames(R)
out = list(weights=weights,
- objective_measures=constrained_objective(w=weights,R=R,constraints,trace=TRUE)$objective_measures,
+ objective_measures=constrained_objective_v1(w=weights,R=R,constraints,trace=TRUE)$objective_measures,
out=minw$value,
call=call)
if (isTRUE(trace)){
Modified: pkg/PortfolioAnalytics/R/random_portfolios.R
===================================================================
--- pkg/PortfolioAnalytics/R/random_portfolios.R 2013-07-31 16:54:17 UTC (rev 2684)
+++ pkg/PortfolioAnalytics/R/random_portfolios.R 2013-07-31 17:20:38 UTC (rev 2685)
@@ -184,7 +184,7 @@
# rownames(result)[2]<-"equal.weight"
i <- 3
while (i<=permutations) {
- result[i,] <- as.matrix(randomize_portfolio(rpconstraints=rpconstraints, ...))
+ result[i,] <- as.matrix(randomize_portfolio_v1(rpconstraints=rpconstraints, ...))
if(i==permutations) {
result = unique(result)
i = nrow(result)
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