Re: [ojAlgo-user] Markowitz Model Problem

[<bru...@uk...>]

Hi, even if I am not the expert ni this topic, I think your problem is 
that actually your model fails to find a solution and then just gives you 
wrong results that are beyond your constraints.
I had this problem to when ysing a sytem with ActiveSetSolver.
Before looking at your solution you should check that the optimization 
actually did not failed.

BasicMatrix[] system = new BasicMatrix[6];
//[AE], [be], [Q], [c], [AI], [bi]
.....
//create your matrix here
.....

ActiveSetSolver as = new ActiveSetSolver(system);
 
OptimisationSolver.Result res = as.solve();
State state = res.getState();

if(state != state.FAILED ) { 
        solution = res.getSolution();
}
Let me know if this solve your problem.
Regards
BF





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is0...@ma...
14/01/2009 02:58
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[ojAlgo-user] Markowitz Model Problem







Hi,

I use the  Markowitz model to calculate the optimize some assets' weights,

and set all the assets' lowerlimit with Zero and set all the upperlimits 
with 

One, but it turns out with some negative value which are little than Zero, 
it 

seems that the lowerlimit does not work.

So I want to ask what should I do it to confirm the lowerlimit?

--
Best regards

weichao

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