[Returnanalytics-commits] r3262 - in pkg/PortfolioAnalytics/sandbox: . benchmarking

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

Author: rossbennett34
Date: 2013-11-15 07:16:35 +0100 (Fri, 15 Nov 2013)
New Revision: 3262

Added:
   pkg/PortfolioAnalytics/sandbox/benchmarking/
   pkg/PortfolioAnalytics/sandbox/benchmarking/benchmark_opt.R
Log:
Adding benchmarking folder and script that profiles and demonstrates the two different ways of passing moments.

Added: pkg/PortfolioAnalytics/sandbox/benchmarking/benchmark_opt.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/benchmarking/benchmark_opt.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/benchmarking/benchmark_opt.R	2013-11-15 06:16:35 UTC (rev 3262)
@@ -0,0 +1,57 @@
+
+
+library(PortfolioAnalytics)
+library(rbenchmark)
+
+data(edhec)
+returns <- edhec[,1:10]
+funds <- colnames(returns)
+
+# Add basic constraints and objectives
+init.portf <- portfolio.spec(assets=funds)
+init.portf <- add.constraint(portfolio=init.portf, type="weight_sum", 
+                             min_sum=0.99, max_sum=1.01)
+init.portf <- add.constraint(portfolio=init.portf, type="box", min=0, max=0.45)
+# init.portf <- add.objective(portfolio=init.portf, type="return", name="mean")
+init.portf <- add.objective(portfolio=init.portf, type="risk", name="ES")
+
+n_portfolios <- 1000
+rp <- random_portfolios(portfolio=init.portf, 
+                        permutations=n_portfolios, 
+                        rp_method="sample", 
+                        eliminate=FALSE)
+
+opt1 <- optimize.portfolio(R=returns, portfolio=init.portf, optimize_method="random", rp=rp, reuse_moments=FALSE, trace=TRUE)
+opt2 <- optimize.portfolio(R=returns, portfolio=init.portf, optimize_method="random", rp=rp, reuse_moments=TRUE, trace=TRUE)
+
+all.equal(opt1, opt2)
+# Component 6, 10, and 11 do not match
+# Component 6 is the call
+# Component 10 the elapsed time
+# Component 11 the end_t
+
+# Make sure the results of opt1 and opt2 are equal
+all.equal(extractStats(opt1), extractStats(opt2))
+
+# benchmark different ways of passing the moments to constrained_objective
+benchmark(
+  reuse=optimize.portfolio(R=returns, portfolio=init.portf, optimize_method="random", rp=rp, reuse_moments=TRUE),
+  no_reuse=optimize.portfolio(R=returns, portfolio=init.portf, optimize_method="random", rp=rp, reuse_moments=FALSE),
+  replications=1
+)[,1:4]
+
+# Rprof runs
+# new uses modify.args to evaluate arguments
+Rprof(filename="rp_profile_reuse.txt")
+optimize.portfolio(R=returns, portfolio=init.portf, optimize_method="random", rp=rp, reuse_moments=TRUE)
+Rprof(NULL)
+
+Rprof(filename="rp_profile_no_reuse.txt")
+optimize.portfolio(R=returns, portfolio=init.portf, optimize_method="random", rp=rp, reuse_moments=FALSE)
+Rprof(NULL)
+
+out_reuse <- summaryRprof("rp_profile_reuse.txt")
+out_no_reuse <- summaryRprof("rp_profile_no_reuse.txt")
+
+lapply(out_reuse, head)
+lapply(out_no_reuse, head)
\ No newline at end of file