I need some help regarding optimisation functions in python(scipy)
the problem is optimizing f(x)
where x=[a,b,c...n]
. the constraints are that values of a,b etc should be between 0 and 1, and sum(x)==1
. The scipy.optimise.minimize function seems best as it requires no differential. How do I pass the arguments?
Creating an ndarray using permutation is too long. My present code as below:-
import itertools as iter
all=iter.permutations([0.0,.1,.2,.3,.4,.5,.6,.7,.8,.9,1.0],6) if sum==1
all_legal=[]
for i in all:
if np.sum(i)==1:
#print np.sum(i)
all_legal.append(i)
print len(all_legal)
lmax=0
sharpeMax=0
for i in all_legal:
if sharpeMax<getSharpe(i):
sharpeMax=getSharpe(i)
lmax=i
You can do a constrained optimization with COBYLA
or SLSQP
as it says in the docs.
from scipy.optimize import minimize
start_pos = np.ones(6)*(1/6.) #or whatever
#Says one minus the sum of all variables must be zero
cons = ({'type': 'eq', 'fun': lambda x: 1 - sum(x)})
#Required to have non negative values
bnds = tuple((0,1) for x in start_pos)
Combine these into the minimization function.
res = minimize(getSharpe, start_pos, method='SLSQP', bounds=bnds ,constraints=cons)
Check .minimize
docstring:
scipy.optimize.minimize(fun, x0, args=(), method='BFGS', jac=None, hess=None, hessp=None, \
bounds=None, constraints=(), tol=None, callback=None, options=None)
What matters the most in your case will be the bounds
. When you want to constrain your parameter in [0,1] (or (0,1)?) You need to define it for each variable, such as:
bounds=((0,1), (0,1).....)
Now, the other part, sum(x)==1
. There may be more elegant ways to do it, but consider this: instead of minimizing f(x)
, you minimize h=lambda x: f(x)+g(x)
, a new function essential f(x)+g(x)
where g(x)
is a function reaches it minimum when sum(x)=1
. Such as g=lambda x: (sum(x)-1)**2
.
The minimum of h(x)
is reached when both f(x)
and g(x)
are at their minimum. Sort of a case of Lagrange multiplier method http://en.wikipedia.org/wiki/Lagrange_multiplier
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