mathprog-NLP: Mathematical Non-Linear Programming

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Mathematical Non-Linear Programming

Description

Mathematical Non-Linear Programming.

Usage

rsolnpNLP(start, objective, 
    lower=0, upper=1, linCons, funCons, control=list())   
solnpNLP(start, objective, 
    par.lower=NULL, par.upper=NULL,
    eqA=NULL, eqA.bound=NULL,
    ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
    eqFun=list(), eqFun.bound=NULL,
    ineqFun=list(), ineqFun.lower=NULL, ineqFun.upper=NULL,
    control=list())    
solnpNLPControl(
    rho=1, outer.iter=400, inner.iter=800, delta=1e-07, tol=1e-08, trace=0)
      
rnlminb2NLP(start, objective, 
    lower=0, upper=1, linCons, funCons, control=list())   
nlminb2NLP(start, objective, 
    par.lower=NULL, par.upper=NULL,
    eqA=NULL, eqA.bound=NULL,
    ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
    eqFun=list(), eqFun.bound=NULL,
    ineqFun=list(), ineqFun.lower=NULL, ineqFun.upper=NULL,
    control=list())    
nlminb2NLPControl(
    eval.max=500, iter.max=400, trace=0, abs.tol=1e-20, rel.tol=1e-10, 
    x.tol=1.5e-08, step.min=2.2e-14, scale=1, R=1, beta.tol=1e-20)  
rnlminb2
      
ramplNLP(start, objective, 
    lower=0, upper=1, amplCons, control=list(), ...)   
amplNLP()    
amplNLPControl(
    solver="minos", project="ampl", trace=FALSE)

Arguments

start	a numeric vector, the start values.
objective	a function object, the function to be optimized.
lower, upper	lower and upper bounds.
linCons	list of linear constraints: mat, lower, upper.
funCons	list of function constraints.
amplCons	AMPL constraints.
control	control list.
...	optional arguments to be passed.
par.lower, par.upper	...
eqA	...
eqA.bound	...
ineqA	...
ineqA.lower,ineqA.upper	...
eqFun	...
eqFun.bound	...
ineqFun	...
ineqFun.lower,ineqFun.upper	...

rho	1
outer.iter	400
inner.iter	800
delta	1.0e-7
tol	1.0e-8

eval.max	500
iter.max	400
trace	0
abs.tol	1e-20
rel.tol	1e-10
x.tol	1.5e-08
step.min	2.2e-14
scale	1
R	1
beta.tol	1e-20
solver	solver name
project	project name

Value

a list of class solver with the following named ebtries: opt, solution, objective, status, message, solver, version.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on April 25, 2023, 9:11 a.m.