问题
I'm solving a standard optimisation problem from Finance - portfolio optimisation. The vast majority of the time, NLopt is returning a sensible solution. However, on rare occasions, the SLSQP algorithm appears to iterate to the correct solution, and then for no obvious reason it chooses to return a solution from about one third of the way through the iterative process that is very obviously suboptimal. Interestingly, changing the initial parameter vector by a very small amount can fix the problem.
I have managed to isolate a relatively simple working example of the behaviour I am talking about. Apologies that the numbers are a bit messy. It was the best I could do. The following code can be cut-and-pasted into a Julia REPL and will run and print values of the objective function and parameters each time NLopt calls the objective function. I call the optimisation routine twice. If you scroll back through the output that is printed by the code below, you'll notice on the first call, the optimisation routine iterates to a good solution with objective function value of 0.0022 but then for no apparent reason goes back to a much earlier solution where the objective function is 0.0007, and returns it instead. The second time I call the optimisation function, I use a slightly different starting vector of parameters. Again, the optimisation routine iterates to the same good solution, but this time it returns the good solution with objective function value of 0.0022.
So, the question: Does anyone know why in the first case SLSQP abandons the good solution in favour of a much poorer one from only about a third of the way through the iterative process? If so, is there any way I can fix this?
#-------------------------------------------
#Load NLopt package
using NLopt
#Define objective function for the portfolio optimisation problem (maximise expected return subject to variance constraint)
function obj_func!(param::Vector{Float64}, grad::Vector{Float64}, meanVec::Vector{Float64}, covMat::Matrix{Float64})
if length(grad) > 0
tempGrad = meanVec - covMat * param
for j = 1:length(grad)
grad[j] = tempGrad[j]
end
println("Gradient vector = " * string(grad))
end
println("Parameter vector = " * string(param))
fOut = dot(param, meanVec) - (1/2)*dot(param, covMat*param)
println("Objective function value = " * string(fOut))
return(fOut)
end
#Define standard equality constraint for the portfolio optimisation problem
function eq_con!(param::Vector{Float64}, grad::Vector{Float64})
if length(grad) > 0
for j = 1:length(grad)
grad[j] = 1.0
end
end
return(sum(param) - 1.0)
end
#Function to call the optimisation process with appropriate input parameters
function do_opt(meanVec::Vector{Float64}, covMat::Matrix{Float64}, paramInit::Vector{Float64})
opt1 = Opt(:LD_SLSQP, length(meanVec))
lower_bounds!(opt1, [0.0, 0.0, 0.05, 0.0, 0.0, 0.0])
upper_bounds!(opt1, [1.0, 1.0, 1.0, 1.0, 1.0, 1.0])
equality_constraint!(opt1, eq_con!)
ftol_rel!(opt1, 0.000001)
fObj = ((param, grad) -> obj_func!(param, grad, meanVec, covMat))
max_objective!(opt1, fObj)
(fObjOpt, paramOpt, flag) = optimize(opt1, paramInit)
println("Returned parameter vector = " * string(paramOpt))
println("Return objective function = " * string(fObjOpt))
end
#-------------------------------------------
#Inputs to optimisation
meanVec = [0.00238374894628471,0.0006879970888824095,0.00015027322404371585,0.0008440624572209092,-0.004949409024535505,-0.0011493778903180567]
covMat = [8.448145928621056e-5 1.9555283947528615e-5 0.0 1.7716366331331983e-5 1.5054664977783003e-5 2.1496436765051825e-6;
1.9555283947528615e-5 0.00017068536691928327 0.0 1.4272576023325365e-5 4.2993023110905543e-5 1.047156519965148e-5;
0.0 0.0 0.0 0.0 0.0 0.0;
1.7716366331331983e-5 1.4272576023325365e-5 0.0 6.577888700124854e-5 3.957059294420261e-6 7.365234067319808e-6
1.5054664977783003e-5 4.2993023110905543e-5 0.0 3.957059294420261e-6 0.0001288060347757139 6.457128839875466e-6
2.1496436765051825e-6 1.047156519965148e-5 0.0 7.365234067319808e-6 6.457128839875466e-6 0.00010385067478418426]
paramInit = [0.0,0.9496114216578236,0.050388578342176464,0.0,0.0,0.0]
#Call the optimisation function
do_opt(meanVec, covMat, paramInit)
#Re-define initial parameters to very similar numbers
paramInit = [0.0,0.95,0.05,0.0,0.0,0.0]
#Call the optimisation function again
do_opt(meanVec, covMat, paramInit)
Note: I know my covariance matrix is positive-semi-definite, rather than positive definite. This is not the source of the issue. I've confirmed this by altering the diagonal element of the zero row to a small, but significantly non-zero value. The issue is still present in the above example, as well as others that I can randomly generate.
回答1:
SLSQP is a constrained optimization algorithm. Every round it has to check for having the best objective value and satisfying the constraints. The final output is the best value when satisfying the constraints.
Printing out the value of the constraint by changing eq_con! to:
function eq_con!(param::Vector{Float64}, grad::Vector{Float64})
if length(grad) > 0
for j = 1:length(grad)
grad[j] = 1.0
end
end
@show sum(param)-1.0
return(sum(param) - 1.0)
end
Shows the last valid evaluation point in the first run has:
Objective function value = 0.0007628202546187453
sum(param) - 1.0 = 0.0
While in the second run, all the evaluation points satisfy the constraint. This explains the behavior and shows it's reasonable.
ADDENDUM:
The essential problem leading to parameter instability is the exact nature of the equality constraint. Quoting from the NLopt Reference (http://ab-initio.mit.edu/wiki/index.php/NLopt_Reference#Nonlinear_constraints):
For equality constraints, a small positive tolerance is strongly advised in order to allow NLopt to converge even if the equality constraint is slightly nonzero.
Indeed, switching the equality_constraint! call in do_opt to
equality_constraint!(opt1, eq_con!,0.00000001)
Gives the 0.0022 solution for both initial parameters.
来源：https://stackoverflow.com/questions/35213506/nlopt-slsqp-discards-good-solution-in-favour-of-older-worse-solution