why doesn't the gamultiobj function give me the output of the algorithm?

Question

Santiago 2022-8-31

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/1791725-why-doesn-t-the-gamultiobj-function-give-me-the-output-of-the-algorithm

回答： Alan Weiss 2022-9-1

Returns.xlsx

Hi, I did this optimization by means of the gamultiobj function, but, the output argument, does not give me any information of the number of generations or iterations of the algorithm.

I have tried several methods, but none of them gives me this information, does anyone have any idea how to know this information?

format long g
filename = 'Returns.xlsx';
data = readmatrix(filename);
nAssets = size(data, 2);
%Returns and covariance
mu = mean(data);
mu
sigma = cov(data);
%formulate the problem/optimization
A = -eye(nAssets); 
b = zeros(nAssets, 1);
Aeq = ones(1, nAssets) ;  
beq = 1  ;              
%solve the optimization
fcn = @(w)MultipleMax(w,mu,sigma);
[w,fval,exitflag,output,population,scores] = gamultiobj(fcn, nAssets, A, b, Aeq, beq);
if isempty(w)
   warning('could not find any solution')
else
    
    Risk=sqrt(sum( (w*sigma).*w  ,2));
    Ret=w*mu';
        
    %print the solution
   T=table(Risk,Ret,w,'Var',{'Risk', 'Ret','Pesos'})
end
writetable(T,'45.csv');   
function f = MultipleMax(w,mu,sigma)
  f(1) = -(w * mu');
  f(2) = (sqrt(w*sigma*w'));
end

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Alan Weiss 2022-9-1

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/1791725-why-doesn-t-the-gamultiobj-function-give-me-the-output-of-the-algorithm#answer_1039705

在 MATLAB Online 中打开

45.csv

Your script worked for me. I attach the result. Using these commands, I also got a plot of the Pareto front.

opts = optimoptions("gamultiobj",PlotFcn="gaplotpareto");
[w,fval,exitflag,output,population,scores] = gamultiobj(fcn, nAssets, A, b, Aeq, beq,[],[],[],opts);