在R中将参数传递给nloptr

Question

I'm optimising a simple function in r using 'nloptr' and I'm having difficulty passing arguments in to the objective function. Here is the code I'm using:

require("nloptr")

Correl <- matrix(c(1,-.3,-.3,1), nrow=2, ncol=2)
Wghts <- c(.01,.99)
floor <- .035
expret <- c(.05,.02)
pf.return <- function(r, x, threshold=0){

return(r * x - threshold)
}

pf.vol <- function(x, C){

return(sqrt(x %*% C %*% x))
}

res <- nloptr(x0=Wghts,eval_f = pf.vol,eval_g_ineq=pf.return,opts=list(algorithm="NLOPT_GN_ISRES"), x=Wghts,C=Correl)

(I know I'm missing parameters here but I'm trying to highlight a behaviour I don't understand) Running this gives the following error:

Error in .checkfunargs(eval_f, arglist, "eval_f") : x' passed to (...) in 'nloptr' but this is not required in the eval_f function.

Just to see what happens I can try running it without the x argument:

res <- nloptr(x0=Wghts,eval_f = pf.vol,eval_g_ineq=pf.return,opts=list(algorithm="NLOPT_GN_ISRES"), C=Correl)

which gives the error:

Error in .checkfunargs(eval_g_ineq, arglist, "eval_g_ineq") : eval_g_ineq requires argument 'x' but this has not been passed to the 'nloptr' function.

So including x throws an error that it is unnecessary and omitting it throws an (at least understandable) error that it has been omitted.

Answer 1

Ok for posterity:

I rewrote the functions so that they had the same set of arguments, in the same order.

I also omitted the x=Wghts bit as this is the parameter I'm trying to search over.