[R] Problem with minimization that I failed to understand
Rui Barradas
ru|pb@rr@d@@ @end|ng |rom @@po@pt
Thu Mar 27 20:28:07 CET 2025
Às 18:35 de 27/03/2025, Daniel Lobo escreveu:
> Hi,
>
> I have below minimization problem
>
>
> MyDat = structure(list(c(50L, 0L, 0L, 50L, 75L, 100L, 50L, 0L, 50L, 0L,
> 25L, 50L, 50L, 75L, 75L, 75L, 0L, 75L, 75L, 75L, 0L, 25L, 75L,
> 75L, 0L, 75L, 100L, 0L, 25L, 100L), c(75L, 0L, 0L, 50L, 100L,
> 50L, 75L, 75L, 100L, 25L, 0L, 25L, 100L, 0L, 50L, 0L, 25L, 25L,
> 100L, 75L, 0L, 0L, 0L, 50L, 0L, 75L, 75L, 0L, 50L, 25L), c(50L,
> 0L, 0L, 0L, 100L, 25L, 0L, 0L, 25L, 50L, 0L, 25L, 75L, 50L, 100L,
> 50L, 0L, 75L, 25L, 50L, 0L, 0L, 25L, 0L, 50L, 100L, 100L, 0L,
> 75L, 50L), c(25L, 0L, 0L, 75L, 75L, 25L, 50L, 50L, 100L, 25L,
> 0L, 100L, 50L, 25L, 100L, 25L, 25L, 100L, 50L, 100L, 0L, 0L,
> 100L, 50L, 0L, 50L, 75L, 0L, 50L, 25L), c(50L, 0L, 0L, 75L, 75L,
> 75L, 25L, 25L, 0L, 100L, 0L, 25L, 25L, 75L, 100L, 0L, 25L, 0L,
> 75L, 25L, 25L, 25L, 75L, 25L, 0L, 75L, 100L, 0L, 100L, 100L),
> c(50L, 0L, 0L, 50L, 100L, 25L, 25L, 25L, 50L, 50L, 0L, 50L,
> 75L, 0L, 100L, 50L, 25L, 100L, 50L, 75L, 0L, 0L, 50L, 25L,
> 0L, 100L, 100L, 0L, 75L, 50L), c(50L, 0L, 0L, 50L, 75L, 25L,
> 75L, 50L, 100L, 25L, 0L, 75L, 25L, 0L, 50L, 0L, 50L, 75L,
> 100L, 75L, 0L, 0L, 100L, 0L, 0L, 50L, 75L, 0L, 100L, 100L
> ), c(25L, 75L, 50L, 25L, 75L, 50L, 100L, 75L, 100L, 25L,
> 0L, 75L, 25L, 50L, 25L, 25L, 75L, 75L, 100L, 75L, 75L, 100L,
> 75L, 25L, 0L, 75L, 75L, 0L, 75L, 100L), c(55L, 30L, 20L,
> 30L, 45L, 30L, 30L, 30L, 70L, 30L, 10L, 45L, 45L, 45L, 45L,
> 30L, 30L, 55L, 45L, 45L, 30L, 30L, 30L, NA, 30L, 55L, 45L,
> 20L, 45L, 70L), c(85L, 40L, 40L, 40L, 55L, 40L, 20L, 30L,
> 30L, 30L, 20L, 30L, 70L, 40L, 85L, 55L, 30L, 40L, 30L, 55L,
> 20L, 30L, 55L, 0L, 40L, 55L, 70L, 40L, 85L, 70L), c(45L,
> 45L, 0L, 45L, 45L, 45L, 0L, 0L, 100L, 45L, 0L, 100L, 45L,
> 45L, 100L, 45L, 45L, 100L, 45L, 45L, 45L, 45L, 25L, 45L,
> 0L, 100L, 45L, 0L, 45L, 45L), c(55L, 45L, 45L, 45L, 55L,
> 45L, 45L, 45L, 45L, 45L, 45L, 45L, 45L, 45L, 55L, 55L, 45L,
> 55L, 45L, 45L, 45L, 45L, 45L, 45L, 45L, 55L, 45L, 45L, 45L,
> 45L), c(100L, 100L, 50L, 100L, 100L, 100L, 100L, 100L, 100L,
> 100L, 50L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
> 100L, 100L, 100L, 100L, 50L, 100L, 100L, 100L, 100L, 100L,
> 100L), c(100L, 25L, 25L, 0L, 100L, 60L, 0L, 0L, 25L, 60L,
> 0L, 60L, 100L, 60L, 100L, 100L, 25L, 100L, 60L, 100L, 100L,
> 60L, 100L, 60L, 100L, 100L, 100L, 100L, 60L, 60L), c(0L,
> 0L, 50L, 50L, 100L, 100L, 0L, 0L, 100L, 100L, 0L, 100L, 100L,
> 0L, 100L, 100L, 0L, 100L, 100L, 100L, 100L, 100L, 100L, 0L,
> 100L, 100L, 100L, 100L, 100L, 100L), c(40L, 100L, 40L, 100L,
> 100L, 40L, 100L, 100L, 100L, 40L, 100L, 100L, 100L, 100L,
> 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
> 100L, 100L, 100L, 0L, 100L, 100L), c(100L, 100L, 100L, 100L,
> 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
> 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, -10L,
> 100L, 100L, 100L, -10L, 100L, 100L), c(70L, 0L, 25L, 0L,
> 100L, 25L, 0L, 0L, 0L, 45L, 0L, 25L, 100L, 100L, 100L, 100L,
> 0L, 70L, 0L, 100L, 45L, 45L, 0L, 0L, 100L, 100L, 100L, 0L,
> 100L, 100L), c(55L, 55L, 55L, 55L, 55L, 55L, 55L, 55L, 55L,
> 55L, 55L, 55L, 55L, 55L, 55L, 55L, 20L, 55L, 20L, 55L, 20L,
> 20L, 100L, 55L, 55L, 55L, 55L, 0L, 55L, 55L), c(65L, 65L,
> 100L, 65L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
> 100L, 100L, 100L, 100L, 65L, 100L, 100L, 100L, 65L, 100L,
> 0L, 65L, 100L, 100L, 100L, 100L, 100L, 100L), c(85L, 85L,
> 85L, 85L, 85L, 85L, 85L, 85L, 85L, 85L, 85L, 85L, 56L, 85L,
> 100L, 85L, 85L, 85L, 0L, 85L, 85L, 85L, 85L, 85L, 85L, 85L,
> 85L, 28L, 56L, 56L)), row.names = c(NA, -30L), class = "data.frame")
>
> Fn = function(Wts) return(-Kendall::Kendall(1:Nobs,
> rank(-as.vector(as.matrix(MyDat) %*% matrix(Wts, nc = 1)[, 1, drop =
> T])))$tau[1])
> q1 = pracma::fmincon(c(0.12, 0.04, 0.07, 0.03, 0.06, 0.07, 0.07, 0.04,
> 0.09, 0.08, 0.02, 0.02, 0.03, 0.06, 0.02, 0, 0.07, 0.05, 0.02, 0.02, 0.02),
> fn = Fn,
> A = matrix(c(rep(0, 20), -1), nrow = 1), b = -2.05/100, Aeq =
> matrix(c(rep(1, 20), 1), nrow = 1), beq = 1,
> lb = rep(0.01, 21),
> tol = 1e-16, maxfeval = 10000000, maxiter = 5000000)
>
>
> However with above code, I got sub-optimal value in terms of minimization
> of the objective function:
>
> q1$value
> #0.1632184
> Fn(c(0.12, 0.04, 0.07, 0.03, 0.06, 0.07, 0.07, 0.04, 0.09, 0.08, 0.02,
> 0.02, 0.03, 0.06, 0.02, 0, 0.07, 0.05, 0.02, 0.02, 0.02))
> #0.1586207
>
> Could you please help me to understand what went wrong with my code and how
> to correct that?
>
> [[alternative HTML version deleted]]
>
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Hello,
I cannot reproduce your result.
Instead of checking the result with
Fn(c(0.12, 0.04, 0.07, etc, ...)
pass the actual return value, q1$par. That's what I did and the result
matches the function minimum.
Here is the code I ran.
MyDat <- structure(list(
c(50L, 0L, 0L, 50L, 75L, 100L, 50L, 0L, 50L, 0L,
25L, 50L, 50L, 75L, 75L, 75L, 0L, 75L, 75L, 75L, 0L, 25L, 75L,
75L, 0L, 75L, 100L, 0L, 25L, 100L),
c(75L, 0L, 0L, 50L, 100L,
50L, 75L, 75L, 100L, 25L, 0L, 25L, 100L, 0L, 50L, 0L, 25L, 25L,
100L, 75L, 0L, 0L, 0L, 50L, 0L, 75L, 75L, 0L, 50L, 25L),
c(50L, 0L, 0L, 0L, 100L, 25L, 0L, 0L, 25L, 50L, 0L, 25L, 75L, 50L, 100L,
50L, 0L, 75L, 25L, 50L, 0L, 0L, 25L, 0L, 50L, 100L, 100L, 0L,
75L, 50L),
c(25L, 0L, 0L, 75L, 75L, 25L, 50L, 50L, 100L, 25L,
0L, 100L, 50L, 25L, 100L, 25L, 25L, 100L, 50L, 100L, 0L, 0L,
100L, 50L, 0L, 50L, 75L, 0L, 50L, 25L),
c(50L, 0L, 0L, 75L, 75L,
75L, 25L, 25L, 0L, 100L, 0L, 25L, 25L, 75L, 100L, 0L, 25L, 0L,
75L, 25L, 25L, 25L, 75L, 25L, 0L, 75L, 100L, 0L, 100L, 100L),
c(50L, 0L, 0L, 50L, 100L, 25L, 25L, 25L, 50L, 50L, 0L, 50L,
75L, 0L, 100L, 50L, 25L, 100L, 50L, 75L, 0L, 0L, 50L, 25L,
0L, 100L, 100L, 0L, 75L, 50L),
c(50L, 0L, 0L, 50L, 75L, 25L,
75L, 50L, 100L, 25L, 0L, 75L, 25L, 0L, 50L, 0L, 50L, 75L,
100L, 75L, 0L, 0L, 100L, 0L, 0L, 50L, 75L, 0L, 100L, 100L),
c(25L, 75L, 50L, 25L, 75L, 50L, 100L, 75L, 100L, 25L,
0L, 75L, 25L, 50L, 25L, 25L, 75L, 75L, 100L, 75L, 75L, 100L,
75L, 25L, 0L, 75L, 75L, 0L, 75L, 100L),
c(55L, 30L, 20L,
30L, 45L, 30L, 30L, 30L, 70L, 30L, 10L, 45L, 45L, 45L, 45L,
30L, 30L, 55L, 45L, 45L, 30L, 30L, 30L, NA, 30L, 55L, 45L,
20L, 45L, 70L),
c(85L, 40L, 40L, 40L, 55L, 40L, 20L, 30L,
30L, 30L, 20L, 30L, 70L, 40L, 85L, 55L, 30L, 40L, 30L, 55L,
20L, 30L, 55L, 0L, 40L, 55L, 70L, 40L, 85L, 70L),
c(45L, 45L, 0L, 45L, 45L, 45L, 0L, 0L, 100L, 45L, 0L, 100L, 45L,
45L, 100L, 45L, 45L, 100L, 45L, 45L, 45L, 45L, 25L, 45L,
0L, 100L, 45L, 0L, 45L, 45L),
c(55L, 45L, 45L, 45L, 55L,
45L, 45L, 45L, 45L, 45L, 45L, 45L, 45L, 45L, 55L, 55L, 45L,
55L, 45L, 45L, 45L, 45L, 45L, 45L, 45L, 55L, 45L, 45L, 45L, 45L),
c(100L, 100L, 50L, 100L, 100L, 100L, 100L, 100L, 100L,
100L, 50L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
100L, 100L, 100L, 100L, 50L, 100L, 100L, 100L, 100L, 100L, 100L),
c(100L, 25L, 25L, 0L, 100L, 60L, 0L, 0L, 25L, 60L,
0L, 60L, 100L, 60L, 100L, 100L, 25L, 100L, 60L, 100L, 100L,
60L, 100L, 60L, 100L, 100L, 100L, 100L, 60L, 60L),
c(0L, 0L, 50L, 50L, 100L, 100L, 0L, 0L, 100L, 100L, 0L, 100L, 100L,
0L, 100L, 100L, 0L, 100L, 100L, 100L, 100L, 100L, 100L, 0L,
100L, 100L, 100L, 100L, 100L, 100L),
c(40L, 100L, 40L, 100L,
100L, 40L, 100L, 100L, 100L, 40L, 100L, 100L, 100L, 100L,
100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
100L, 100L, 100L, 0L, 100L, 100L),
c(100L, 100L, 100L, 100L,
100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, -10L,
100L, 100L, 100L, -10L, 100L, 100L),
c(70L, 0L, 25L, 0L,
100L, 25L, 0L, 0L, 0L, 45L, 0L, 25L, 100L, 100L, 100L, 100L,
0L, 70L, 0L, 100L, 45L, 45L, 0L, 0L, 100L, 100L, 100L, 0L,
100L, 100L),
c(55L, 55L, 55L, 55L, 55L, 55L, 55L, 55L, 55L,
55L, 55L, 55L, 55L, 55L, 55L, 55L, 20L, 55L, 20L, 55L, 20L,
20L, 100L, 55L, 55L, 55L, 55L, 0L, 55L, 55L),
c(65L, 65L,
100L, 65L, 100L, 100L, 100L, 100L, 100L, 100L, 100L, 100L,
100L, 100L, 100L, 100L, 65L, 100L, 100L, 100L, 65L, 100L,
0L, 65L, 100L, 100L, 100L, 100L, 100L, 100L),
c(85L, 85L,
85L, 85L, 85L, 85L, 85L, 85L, 85L, 85L, 85L, 85L, 56L, 85L,
100L, 85L, 85L, 85L, 0L, 85L, 85L, 85L, 85L, 85L, 85L, 85L,
85L, 28L, 56L, 56L)),
row.names = c(NA, -30L), class = "data.frame")
Fn <- function(Wts) return(
Kendall::Kendall(
1:Nobs,
rank(-as.vector(as.matrix(MyDat) %*% matrix(Wts, nc = 1)[, 1, drop
= T]))
)$tau[1]
)
Nobs <- nrow(MyDat)
q1 <- pracma::fmincon(
c(0.12, 0.04, 0.07, 0.03, 0.06, 0.07, 0.07, 0.04, 0.09, 0.08,
0.02, 0.02, 0.03, 0.06, 0.02, 0, 0.07, 0.05, 0.02, 0.02, 0.02),
fn = Fn,
A = matrix(c(rep(0, 20), -1), nrow = 1), b = -2.05/100,
Aeq = matrix(c(rep(1, 20), 1), nrow = 1), beq = 1,
lb = rep(0.01, 21),
tol = 1e-16,
maxfeval = 10000000,
maxiter = 5000000
)
q1$value
#> [1] -0.1632184
Fn(q1$par)
#> [1] -0.1632184
Hope this helps,
Rui Barradas
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