You can't -- at least as I read the docs for ?optim (but I'm pretty ignorant about this, so maybe there's a way to tweak it so you can).
See here: https://cran.r-project.org/web/views/Optimization.html for other R optimization capabilities. Also, given your credentials, the r-sig-finance list might be a better place for you to post your query. Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Thu, May 3, 2018 at 10:52 AM, Michael Ashton <m.ash...@enduringinvestments.com> wrote: > Hi โ > > This is giving me a headache. Iโm trying to do a relatively simple > optimization โ actually trying to approximate the output from the Excel > Solver function but at roughly 1000x the speed. ๐ > > The optimization parameters look like this. The only trouble is that I want > to add a constraint that sum(wgt.vect)=1, and I canโt figure out how to do > that in optim. > > Mo.vect <- as.vector(tail(head(mo,i),1)) > wgt.vect <- as.vector(tail(head(moWeightsMax,i),1)) > cov.mat <- cov(tail(head(morets,i+12),12)) > opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect) > %*% (cov.mat %*% wgt.vect)) > > LowerBounds<-c(0.2,0.05,0.1,0,0,0) > UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) > > OptimSolution<-optim(wgt.vect, fn=opt.fun, > method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds) > > > Any thoughts are appreciated! > > Mike > > Michael Ashton, CFA > Managing Principal > > Enduring Investments LLC > W: 973.457.4602 > C: 551.655.8006 > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
