why doesn't the gamultiobj function give me the output of the algorithm?

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Santiago
Santiago 2022 年 8 月 31 日
回答済み: Alan Weiss 2022 年 9 月 1 日
Hi, I did this optimization by means of the gamultiobj function, but, the output argument, does not give me any information of the number of generations or iterations of the algorithm.
I have tried several methods, but none of them gives me this information, does anyone have any idea how to know this information?
format long g
filename = 'Returns.xlsx';
data = readmatrix(filename);
nAssets = size(data, 2);
%Returns and covariance
mu = mean(data);
mu
sigma = cov(data);
%formulate the problem/optimization
A = -eye(nAssets);
b = zeros(nAssets, 1);
Aeq = ones(1, nAssets) ;
beq = 1 ;
%solve the optimization
fcn = @(w)MultipleMax(w,mu,sigma);
[w,fval,exitflag,output,population,scores] = gamultiobj(fcn, nAssets, A, b, Aeq, beq);
if isempty(w)
warning('could not find any solution')
else
Risk=sqrt(sum( (w*sigma).*w ,2));
Ret=w*mu';
%print the solution
T=table(Risk,Ret,w,'Var',{'Risk', 'Ret','Pesos'})
end
writetable(T,'45.csv');
function f = MultipleMax(w,mu,sigma)
f(1) = -(w * mu');
f(2) = (sqrt(w*sigma*w'));
end

回答 (1 件)

Alan Weiss
Alan Weiss 2022 年 9 月 1 日
Your script worked for me. I attach the result. Using these commands, I also got a plot of the Pareto front.
opts = optimoptions("gamultiobj",PlotFcn="gaplotpareto");
[w,fval,exitflag,output,population,scores] = gamultiobj(fcn, nAssets, A, b, Aeq, beq,[],[],[],opts);
You see that there were 142 generations (iterations) and 28,400 function evaluations.
Alan Weiss
MATLAB mathematical toolbox documentation

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