Fmincon inside a for loop, values not changing!

Question

motleyfool 2018-9-21

0
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/420219-fmincon-inside-a-for-loop-values-not-changing

评论： motleyfool 2018-9-21

I have a task to run an optimization for every row with 100 columns, This is how I have formulated. values of all other parameters are calculated(Code and matrix attached if needed). When i run the loop, I do not get any response (it gives me my initial conditions as final answer)

Here is my script

Aeq = ones(1,n);
Beq = 1;
a0 = rand(1,n);
options = optimoptions(@fmincon,'Display','off');
w0 = 1/n*ones(1,n);
tic
for i = 3:t  % trial
      [a_opt] = fmincon(@(w) longsharpe(a0, avrcc, avrco, avroc, avroo, avrrvp,...
          avrtvl, rcc, rco, roc, roo, tvl, rvp, i, n),w0,[],[],Aeq,Beq,[],[],[],options);
      w_strat2(i,:) = a_opt;
end

and Here is the function,

function [y] = longsharpe(a, avrcc, avrco, avroc, avroo, avrrvp,...
    avrtvl, rcc, rco, roc, roo, tvl, rvp, i, n)
% find weight vector for each day
w = zeros(1,n);
ret = rcc(i-1:i,:);
mu = mean(ret);
Q = cov(ret);
for j = 1:n
    w(1,j) = a(1)*(rcc(i-1,j)-avrcc(i-1))./n...
        + a(2)*(roo(i,j)-avroo(i))./n...
        + a(3)*(roc(i-1,j)-avroc(i-1))./n ...
        + a(4)*(rco(i,j)-avrco(i))./n...
        + a(5)*(tvl(i-1,j)/avrtvl(i-1,j))*(rcc(i-1,j)-avrcc(i-1))./n...
        + a(6)*(tvl(i-1,j)/avrtvl(i-1,j))*(roo(i,j)-avroo(i))./n...
        + a(7)*(tvl(i-1,j)/avrtvl(i-1,j))*(roc(i,j)-avroc(i-1))./n...
        + a(8)*(tvl(i-1,j)/avrtvl(i-1,j))*(rco(i,j)-avrco(i))./n...
        + a(9)*(rvp(i-1,j)/avrrvp(i-1,j))*(rcc(i-1,j)-avrcc(i-1))./n...
        + a(10)*(rvp(i-1,j)/avrrvp(i-1,j))*(roo(i,j)-avroo(i))./n...
        + a(11)*(rvp(i-1,j)/avrrvp(i-1,j))*(roc(i-1,j)-avroc(i-1))./n...
        + a(12)*(rvp(i-1,j)/avrrvp(i-1,j))*(rco(i,j)-avrco(i))./n;
end
%setting up sharpe ratio with risk free rate 4%
y = -(mu*w'-0.04/252)/sqrt(w*(Q*w'));
end

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Answer 1

Matt J 2018-9-21

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/420219-fmincon-inside-a-for-loop-values-not-changing#answer_337846

编辑：Matt J 2018-9-21

在 MATLAB Online 中打开

Perhaps you meant to have,

a_opt = fmincon(@(a) longsharpe(a,avrcc....

In any case, you are currently giving fmincon an objective function f(w) that is constant as a function of w, so it's no surprise that it is always optimal at the initial point.