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Description
Hi,
I'm experiencing a problem when trying to perform a derivative free optimization using NLOPT_LN_COBYLA (code below). The optimization stops at one of the iterations and remains frozen for hours (let it run for more than 24h to make sure it wasn't computing) without throwing any error.
Has this problem ever been experienced?
Thanks
Ben
toOpt = function(w,turnThresh,stock.data){
tCosts(w,stock.data) * j - cPMOM(w,stock.data)
}
ineqCon = function(w,stock.data,turnThresh){
rbind (cTurnover(w,turnThresh,stock.data)
,cSumWeights.Min(w,stock.data)
,cSumWeights.Max(w,stock.data)
,cVOL(w,stock.data)
,cREGION.US.Min(w,stock.data)
,cREGION.US.Max(w,stock.data))
}
resOpt <- nloptr(x0 = (max.vec + min.vec )/ 2
,eval_f = toOpt
#,eval_g_eq = eqCon
,eval_g_ineq = ineqCon
,lb = min.vec
,ub = max.vec
,opts = list('algorithm' = 'NLOPT_LN_COBYLA',
#'algorithm' = 'NLOPT_GN_ORIG_DIRECT',
#'algorithm' = 'NLOPT_GN_ISRES',
'xtol_rel' = 1.0e-2,
'maxeval' = 2500,
'print_level' = 2
)
,stock.data=res.all
,turnThresh = 0.22
)