我试图从Excel的“Solver”加载项中复制R中的结果。我不知道优化的内部工作原理（数学上），因此我在大多数帖子结果以及我收到的错误消息时都会感到困惑。我尝试使用optimx包，但显然不允许对优化中的约束进行过多控制，所以现在我正在尝试nloptr包。
基本上，我要做的是复制最佳投资组合计算（财务）。以下是我的代码示例：
ret.cov <- cov(as.matrix(ret.p[,1:30]))
wts <- rep(1/portfolioSize, times = portfolioSize)
sharpe <- function(wts) {
mean.p <- sum(colMeans(ret.p[,1:30])*wts)
var.p <- t(wts) %*% (ret.cov %*% (wts))
sd.p <- sqrt(var.p)
SR <- (mean.p - Rf)/sd.p
return(as.numeric(SR))
}
fun.eq <- function(wts) {
sum(wts) == 1
}
optim.p <- nloptr(x0 = wts, eval_f = sharpe, lb = 0, ub = 1, eval_g_eq = fun.eq)
sharpe(as.numeric(optim.p$solution))
nloptr的相等函数，该函数指出wts向量的总和必须等于1。当我在nloptr函数之外尝试时，Sharpe计算功能正常工作。问题是各种各样的，从需要指定正确使用的算法到不接受我提供的相等函数的函数。
所以，我的问题是：
nloptr更改为最大化而不是最小化？opts = list()指定的正确算法是什么？ Excel使用称为“GRG Nonlinear”的东西。提前谢谢！
答案 0 :(得分：0)
希望它仍然相关...... 你没有提供数据，所以我无法运行，但我会尝试提供帮助。
1）为了最大化，只需最小化-sharpe
2）eval_g_eq需要采用h（x）= 0的格式，这意味着您需要在fun.eq上将- (void)viewDidLoad{
[super viewDidLoad];
NSLog(@"viewDidLoad");
[self performSelector:@selector(startScanning) withObject:nil afterDelay:5.0];
}
- (void)didReceiveMemoryWarning
{
[super didReceiveMemoryWarning];
// Dispose of any resources that can be recreated.
}
-(void)centralManagerDidUpdateState:(CBCentralManager *)central
{
NSLog(@"centralManagerDidUpdateState");
if (central.state == CBCentralManagerStatePoweredOn)
{
NSDictionary *options = [NSDictionary dictionaryWithObjectsAndKeys:[NSNumber numberWithBool:NO], CBCentralManagerScanOptionAllowDuplicatesKey, nil];
[self.bluetoothManager scanForPeripheralsWithServices:nil options:options];
}
else
{
return;
}
}
-(void)centralManager:(CBCentralManager *)central didDiscoverPeripheral:(CBPeripheral *)peripheral advertisementData:(NSDictionary *)advertisementData RSSI:(NSNumber *)RSSI{
//NSLog(@"didDiscoverPeripheral %@ && UUID = ",peripheral.name, [peripheral.identifier UUIDString]);
if(peripheral.name){
[peripheral readRSSI];
[self.beaconPeripherals addObject:peripheral];
self.beacons = [NSArray arrayWithArray:self.beaconPeripherals];
[self reloadBeacons];
}
}
- (void) startScanning{
if(self.bluetoothManager){
[self.bluetoothManager stopScan];
[self.beaconPeripherals removeAllObjects];
}
self.bluetoothManager = [[CBCentralManager alloc] initWithDelegate:self queue:nil options:nil];
self.beaconPeripherals = [[NSMutableArray alloc]init];
self.beacons = [[NSArray alloc]init];
}
- (void)peripheralDidUpdateRSSI:(CBPeripheral *)peripheral
error:(NSError *)error{
NSLog(@"RSSI update %@",peripheral.RSSI);
}
#pragma mark - CLLocationManager delegates
-(void)locationManager:(CLLocationManager *)manager didEnterRegion:(CLRegion *)region{
NSLog(@"*****didEnterRegion******");
[self performActionForEvent:EventEnter withIdentifier:region.identifier];
}
-(void)locationManager:(CLLocationManager *)manager didExitRegion:(CLRegion *)region
{
NSLog(@"***********didExitRegion***********");
[self performActionForEvent:EventExit withIdentifier:region.identifier];
}
-(void)locationManager:(CLLocationManager *)manager didStartMonitoringForRegion:(CLRegion *)region
{
NSLog(@"didStartMonitoringForRegion");
}
-(void)locationManager:(CLLocationManager *)manager didFailWithError:(NSError *)error
{
NSLog(@"didFailWithError");
}
-(void)locationManager:(CLLocationManager *)manager didRangeBeacons:(NSArray *)beacons inRegion:(CLBeaconRegion *)region
{
NSLog(@"didRangeBeacons with size %i", beacons.count);
if ([beacons count] > 0) {
NSLog(@"beacons founds: %lu",(unsigned long)[beacons count]);
CLBeacon *beacon = [beacons objectAtIndex:0];
NSLog(@"Beacons UUID: %@",beacon.proximityUUID);
NSLog(@"Beacons Major: %@",beacon.major);
NSLog(@"Beacons Minor: %@",beacon.minor);
for(int i = 0; i < [beacons count]; i++) //scanned beacons in Ranging
{
for(int j=0; j<[self.beacons count]; j++) //stored beacons in database
{
if (([[[beacons[i] proximityUUID] UUIDString] caseInsensitiveCompare:[((CBPeripheral *)self.beacons[j]).identifier UUIDString]]==NSOrderedSame) &&
([[beacons[i] major] unsignedShortValue] == [[self.beacons[j] major] unsignedShortValue]) &&
([[beacons[i] minor] unsignedShortValue] == [[self.beacons[j] minor] unsignedShortValue]) &&
([[(Beacons *)self.beacons[j] enable]boolValue]))
{
NSLog(@"Found Beacon and enabled");
NSLog(@"Beacon UUID: %@",[beacons[i] proximityUUID]);
NSLog(@"Beacon Major: %@",[beacons[i] major]);
NSLog(@"Beacon Minor: %@",[beacons[i] minor]);
//Finding Scanned Beacon Proximity and converting it to the Event of stored Beacon
if ([beacons[i] proximity] == CLProximityImmediate) {
NSLog(@"Immidiate Proximity: %@",beacon.proximityUUID);
[self.beaconsRange replaceObjectAtIndex:j withObject:[NSNumber numberWithInt:At_Beacon]];
//[self.beaconsTableView reloadData];
if ([[self.beacons[j] event] isEqualToString:EventImmidiate]) {
NSLog(@"Close Event matched");
// [self performAction:[(Beacons *)self.beacons[j] action]];
}
}
else if ([beacons[i] proximity] == CLProximityNear) {
NSLog(@"Near Proximity: %@",beacon.proximityUUID);
[self.beaconsRange replaceObjectAtIndex:j withObject:[NSNumber numberWithInt:NEAR]];
//[self.beaconsTableView reloadData];
if ([[self.beacons[j] event] isEqualToString:EventNear]) {
NSLog(@"Near Event matched");
//[self performAction:[(Beacons *)self.beacons[j] action]];
}
}
else if ([beacons[i] proximity] == CLProximityFar) {
NSLog(@"Far Proximity: %@",beacon.proximityUUID);
[self.beaconsRange replaceObjectAtIndex:j withObject:[NSNumber numberWithInt:FAR]];
//[self.beaconsTableView reloadData];
}
else if ([beacons[i] proximity] == CLProximityUnknown) {
NSLog(@"Unknown Proximity: %@",beacon.proximityUUID);
[self.beaconsRange replaceObjectAtIndex:j withObject:[NSNumber numberWithInt:UNKNOWN]];
//[self.beaconsTableView reloadData];
}
}
}
}
}
else {
NSLog(@"No beacon found!");
}
}
-(void)reloadBeacons
{
if(!self.locationManager){
self.locationManager = [[CLLocationManager alloc]init];
// New iOS 8 request for Always Authorization, required for iBeacons to work!
if([self.locationManager respondsToSelector:@selector(requestAlwaysAuthorization)]) {
[self.locationManager requestAlwaysAuthorization];
}
self.locationManager.pausesLocationUpdatesAutomatically = NO;
self.locationManager.delegate = self;
self.regions = [[NSMutableArray alloc]initWithCapacity:[[Utility getBeaconsUUIDS] count]];
for (int index = 0; index < [[Utility getBeaconsUUIDS] count]; index++)
{
[self.regions addObject:[NSNull null]];
}
}
//[self.beaconsTableView reloadData];
//This will put a delay of 5 seconds between Action trigger.
double delayInSeconds = 5.0;
dispatch_time_t popTime = dispatch_time(DISPATCH_TIME_NOW, (int64_t)(delayInSeconds * NSEC_PER_SEC));
dispatch_after(popTime, dispatch_get_main_queue(), ^(void){
if (shouldStopAction) { //If the view is disappeared then dont perfom Action
isActionPerformed = YES;
}
else { //if the view is appeared then perform Action
isActionPerformed = NO;
}
});
self.beaconsRange = [[NSMutableArray alloc] initWithCapacity:[self.beacons count]];
for (int index = 0; index < [self.beacons count]; index++)
{
[self.beaconsRange addObject:[NSNull null]];
}
/*
* Create Regions for each unique Beacon UUID provided in the app and these should be fixed and known
* and assign each region unique identifier
* if Beacon is saved with one of these provided UUIDs then register Region having that UUID
* Unregister Region if there is not any saved or enabled Beacon found having that UUID
*/
for(int regionIndex = 0; regionIndex < [[Utility getBeaconsUUIDS]count]; regionIndex++ )
{
BOOL isBeaconFound = NO;
BOOL isBeaconEnable = NO;
for(int beaconIndex = 0; beaconIndex < [self.beacons count]; beaconIndex++)
{
if ([[[[Utility getBeaconsUUIDS] objectAtIndex:regionIndex] UUIDString]
caseInsensitiveCompare:[((CBPeripheral *)self.beacons[beaconIndex]).identifier UUIDString]]==NSOrderedSame) {
isBeaconFound = YES;
isBeaconEnable = YES;
//
// if ([[(Beacons *)[self.beacons objectAtIndex:beaconIndex]enable]boolValue]) {
// isBeaconEnable = YES;
// }
}
}
//if Beacon/Beacons Found in Region (regionIndex) and
//atleast one Beacon is enabled in that Region then check the corresponding Region
// if Region is not exist already then create Region and start Monitoring and Ranging
if (isBeaconFound && isBeaconEnable) {
NSLog(@"Atleast one Beacon is enable in Region %d with UUID %@",regionIndex, [[[Utility getBeaconsUUIDS]objectAtIndex:regionIndex]UUIDString]);
if ([[self.regions objectAtIndex:regionIndex] isEqual:[NSNull null]]) {
NSLog(@"Creating Region %d with UUID %@",regionIndex,[[[Utility getBeaconsUUIDS]objectAtIndex:regionIndex]UUIDString]);
[self.regions replaceObjectAtIndex:regionIndex withObject:[Utility getRegionAtIndex:regionIndex]];
[self.locationManager startMonitoringForRegion:[self.regions objectAtIndex:regionIndex]];
[self.locationManager startRangingBeaconsInRegion:[self.regions objectAtIndex:regionIndex]];
}
else {
NSLog(@"Region %d already exist with UUID %@",regionIndex,[[[Utility getBeaconsUUIDS]objectAtIndex:regionIndex]UUIDString]);
}
}
// if NO Beacon found or No Beacon is enable in Region (regionIndex) then check the corresponding Region
// if Region exist already then stop Monitoring and Ranging and assign nil to Region
else {
NSLog(@"No beacon is found or enable in Region %d with UUID %@",regionIndex,[[[Utility getBeaconsUUIDS]objectAtIndex:regionIndex]UUIDString]);
if (![[self.regions objectAtIndex:regionIndex] isEqual:[NSNull null]]) {
NSLog(@"Region %d with UUID %@ already exist and now removing it",regionIndex, [[[Utility getBeaconsUUIDS]objectAtIndex:regionIndex]UUIDString]);
[self.locationManager stopMonitoringForRegion:[self.regions objectAtIndex:regionIndex]];
[self.locationManager stopRangingBeaconsInRegion:[self.regions objectAtIndex:regionIndex]];
[self.regions replaceObjectAtIndex:regionIndex withObject:[NSNull null]];
}
}
}
}
更改为sum(wts) == 1。
3）有很多不错的选择。我使用NLOPT_LN_COBYLA