exit flag -2

2 ビュー (過去 30 日間)
DrLoz
DrLoz 2018 年 10 月 14 日
コメント済み: Walter Roberson 2018 年 10 月 16 日
Hi, I have the following code which returns exit flag -2. I've tried using different algorithms and different initial starting values. But I'm not sure what to do next. Thanks!
for iPt = 1:nFrontierPts %This is only looping over the FX overlay - I'm adding the exogenous portfolio at the final step
%Max iter and funevals small while debugging - need to increase to deal with exit flag 0
%Currency Specific Frontier
options = optimoptions(@fmincon,'Algorithm','interior-point','MaxIter',1000,'MaxFunEvals',10000);
targetVar_cs = minVar_cs + (iPt-1)*VarIncr_cs;
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
% [tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,100,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),100),options);
if EXITFLAG_cs ==-2
w0_cs = UB_cs';
options = optimoptions(@fmincon,'Algorithm','sqp','MaxIter',1000,'MaxFunEvals',10000);
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
if EXITFLAG_cs==-2
options = optimoptions(@fmincon,'Algorithm','active-set','MaxIter',1000,'MaxFunEvals',10000);
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
end
if EXITFLAG_cs==-2
for ct = 1:10
w0_cs = UB_cs'*rand(1);
options = optimoptions(@fmincon,'Algorithm','active-set','MaxIter',1000,'MaxFunEvals',10000);
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
if EXITFLAG_cs ~= -2
break;
end
end
end
end
end
I'm not sure what else to do next. Thanks!
  21 件のコメント
19 件の古いコメントを表示
DrLoz
DrLoz 2018 年 10 月 15 日
oh... I guess this is not looking promising at all... thanks Walter.
Walter Roberson
Walter Roberson 2018 年 10 月 16 日
Okay, I will look at it when I am able. I have some dental work when in the morning, so I am not sure whether I will feel up to doing anything for a couple of days.

サインインしてコメントする。

サインインしてこの質問に回答する。

回答 (0 件)

カテゴリ

Help Center および File Exchange で MATLAB についてさらに検索

タグ

製品


リリース

R2015a

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by