Re: [ojAlgo-user] Markowitz Model Problem

[Anders P. <an...@op...>]

I believe this is the first time a list member (other than me) tried  
to help another member!

On 14 jan 2009, at 09.26, bru...@uk... wrote:

> 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.

Please give me test cases for things you think should work, but  
currently doesn't.

> 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.

This could be the case, but I'd like to see the actual case. With all  
lower limits set to 0 and all upper limits set to 1 (and no other  
constraints) the ActiveSetSolver should be able to find a solution.

The quadratic solvers has been much improved since the release of  
version 25. If it's not to much trouble I'd recommend getting the  
latest source code from CVS. There's still  a few things I'd like to  
fix before releasing version 26.

/Anders


> 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
>
>
>
>
> Internet
> is0...@ma...
> 14/01/2009 02:58
> Please respond to
> oja...@li...
>
> To
> oja...@li...
> cc
> Subject
> [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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