portfolio.optim.default, Packages tseries quadprog (PR#348)

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Subject: portfolio.optim.default, Packages tseries quadprog (PR#348)
steland@euv-frankfurt-o.de
Date: Sat 27 Nov 1999 - 20:30:21 EST


Message-Id: <199911271030.LAA02408@pubhealth.ku.dk>

Full_Name: Ansgar Steland
Version: 0.90.0
OS: Linux 6.1 FreeBSD 3.2
Submission from: (NULL) (62.104.196.10)

Dear R Team,

Yesterday I downloaded R 0.90.0 and the current versions of some
packages (tseries, quadprog,...).
I had no problems to build the program using FreeBSD 3.2 and SuSe Linux 6.1.
I also re-build all packages required by tseries.

I checked out portfolio.optim (package: tseries).
It crashed under FreeBSD 3.2 and SuSe Linux 6.1.
(More precisely, the example in the documentation of portfolio.optim crashed.)

Simply reinstalling R 0.65.0 fixed the problem! Now the example works.

I suppose there is a problem with the code of the solve.QP function
of the package quadprog.
Perhaps it uses internal R functions whose argument lists have changed or sthg.
like this, I don't know.

Below you find some output.

Output for R 0.90.0 (OS: SuSe Linux 6.1):
-----------------------------------------

R : Copyright 1999, The R Development Core Team
Version 0.90.0 (November 22, 1999)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type "?license" or "?licence" for distribution details.

R is a collaborative project with many contributors.
Type "?contributors" for a list.

Type "demo()" for some demos, "help()" for on-line help, or
        "help.start()" for a HTML browser interface to help.
Type "q()" to quit R.

> library(tseries)
Loading required package: ts

           This is a preliminary time series package for R
           See `library(help=ts)' for details.

> x <- rnorm (1000)
> dim(x) <- c(500,2)
> res <- portfolio.optim (x)
Segmentation fault
ansgar@alpha:~ > res$pw

Output after 'cd R-0.65.0; make install':
-----------------------------------------

R : Copyright 1999, The R Development Core Team
Version 0.65.0 (August 27, 1999)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type "?license" or "?licence" for distribution details.

R is a collaborative project with many contributors.
Type "?contributors" for a list.

Type "demo()" for some demos, "help()" for on-line help, or
        "help.start()" for a HTML browser interface to help.
Type "q()" to quit R.

> library(tseries)
Loading required package: ts

      This is a preliminary time series package for R 0.65
      See `library(help=ts)' for details.

> x <- rnorm (1000)
> dim(x) <- c(500,2)
> res <- portfolio.optim (x)
> res$pw
[1] 0.5 0.5
>

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Hope this report helps the R developers.

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