Comments on FOSS Trading: LSPM Examples

Hi Grant, I don't currently know to accomplis...

2011-12-10T09:37:45.615-06:00

Hi Grant,

I don't currently know to accomplish your second request. Stopping the optimization requires you interrupt the code. There's probably a way to catch the interrupt and return the current iteration's f values to the caller, but I'm not sure how to do it.

That said, you can set DEoptim.control$trace=TRUE, manually copy/paste the last iteration's f values prior to interrupt, then manually restart the job like you do to solve your first request.

I created a more elegant solution to (1): ...

2011-12-02T04:46:18.556-06:00

I created a more elegant solution to (1):

f <- read.csv("OUTPUT [f].csv", header=TRUE, as.is=TRUE, sep=",", dec=".")
for(i in 1:N){initialpop[(i-1)*NP+1] <- f$x[i]}

I am still however wondering how to achieve (2):

2. The ability to stop a search that is in process yet retain the current f values for use.

Josh, I am looking to accomplish two things with ...

2011-12-02T01:15:31.393-06:00

Josh,

I am looking to accomplish two things with your R implementation of LSPM:

1. The ability to pickup the f values from a previous search and then continue the search with those values.

2. The ability to stop a search that is in process yet retain the current f values for use.

I have managed to accomplish the former with some rather inefficient code (coding is not my strong point) yet am at a loss as to how one could accomplish the latter:

I accomplish the former by writing the f values to file at the end of a run:

write.csv(results$f, file="OUTPUT [f].csv")

and then pick them up again prior to the next run by repopulating the initialpop with the following (here N=47):

f <- read.csv("OUTPUT [f].csv", header=TRUE, as.is=TRUE, sep=",", dec=".")
initialpop=cbind(rep(f$x[1],NP),rep(f$x[2],NP),rep(f$x[3],NP),rep(f$x[4],NP),rep(f$x[5],NP),rep(f$x[6],NP),rep(f$x[7],NP),rep(f$x[8],NP),rep(f$x[9],NP),rep(f$x[10],NP),
rep(f$x[11],NP),rep(f$x[12],NP),rep(f$x[13],NP),rep(f$x[14],NP),rep(f$x[15],NP),rep(f$x[16],NP),rep(f$x[17],NP),rep(f$x[18],NP),rep(f$x[19],NP),rep(f$x[20],NP),
rep(f$x[21],NP),rep(f$x[22],NP),rep(f$x[23],NP),rep(f$x[24],NP),rep(f$x[25],NP),rep(f$x[26],NP),rep(f$x[27],NP),rep(f$x[28],NP),rep(f$x[29],NP),rep(f$x[30],NP),
rep(f$x[31],NP),rep(f$x[32],NP),rep(f$x[33],NP),rep(f$x[34],NP),rep(f$x[35],NP),rep(f$x[36],NP),rep(f$x[37],NP),rep(f$x[38],NP),rep(f$x[39],NP),rep(f$x[40],NP),
rep(f$x[41],NP),rep(f$x[42],NP),rep(f$x[43],NP),rep(f$x[44],NP),rep(f$x[45],NP),rep(f$x[46],NP),rep(f$x[47],NP))

However would you know how I could accomplish stoping a process that is running yet retain the f values so that they could be used or the process can be restarted again at a latter time if required?

Grant

Hi Chris, I mention that in the post; in the last...

2011-11-15T18:23:20.541-06:00

Hi Chris,

I mention that in the post; in the last paragraph of text before the code. In short, the optimization algorithms are different and the algorithm in my post is able to find a set of f values that produce a higher GHPR.

Hi Josh I am trying to replicate the results on p...

2011-11-15T14:19:05.487-06:00

Hi Josh

I am trying to replicate the results on page 87 (as mentioned in your post above) of the LSPM book. I do the following:
> data(port)
> DEctrl <- list(NP=30, itermax=100)
> res <- optimalf(port, control=DEctrl)

The result is :

Iteration: 100 bestvalit: -1.293917 bestmemit: 1.000000 0.000000 0.857813

Page 87 reads:
MktSysA 0.307
MktSysB 0
MktSysC 0.693