Hi!
I am try to run a portfolio optimization using the Differential Evolution method. The optimization runs, but there seems to be some problem in the output, when I store the steps used. My sample code is:
SeedRandom[1234]
numShares= 5; (*number of shares *)
allData = RandomReal[{-0.01,0.01},{10,numShares}]; (* create random share returns matrix *)
returnsVector =Mean[allData]; (* vector of average share returns *)
varianceMatrix = Covariance[allData ]; (*covariance matrix *)
variables=Table[Subscript[x, i],{i,1,numShares}]; (*list of variables *)
Opt = NMinimize[{variables . varianceMatrix . variables, Dot[variables, returnsVector] == Mean[returnsVector], (Plus @@ variables) == 1,And @@ (LessEqual[0,#,1]& /@ variables)},variables] (* default optimization *)
Clear[deSteps];
deSteps= Reap[NMinimize[{variables . varianceMatrix . variables, Dot[variables, returnsVector] == Mean[returnsVector], (Plus @@ variables) == 1,And @@ (LessEqual[0,#,1]& /@ variables)},variables, Method->"DifferentialEvolution", StepMonitor :>Sow[variables]]]
When I examine deSteps, I see something like:
I am wondering why the values for x2, x3 are not displayed? (See second line and after, of the Output). I want to see these values, so I can examine the step sequence used in the Differential Evolution optimization process. Thanks for any help!
Priyan.
