exit flag -2

4 Ansichten (letzte 30 Tage)
DrLoz
DrLoz am 14 Okt. 2018
Kommentiert: Walter Roberson am 16 Okt. 2018
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 Kommentare
19 ältere Kommentare anzeigen
DrLoz
DrLoz am 15 Okt. 2018
oh... I guess this is not looking promising at all... thanks Walter.
Walter Roberson
Walter Roberson am 16 Okt. 2018
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.

Melden Sie sich an, um zu kommentieren.

Melden Sie sich an, um diese Frage zu beantworten.

Antworten (0)

Kategorien

Mehr zu MATLAB finden Sie in Help Center und File Exchange

Tags

Produkte


Version

R2015a

Community Treasure Hunt

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

Start Hunting!

Translated by