sharpreg.asv

运用遗传算法进行聚类分析

function [w,r2,z]=sharpreg(f,groupreturn,fenggefile,chois) % 作sharp回归用,f为要求最小值的目标函数，groupreturn为组平均属性行
                                                           % fenggefile为风格资产属性文件，行为资产，列为属性
                                                           % chois为列向量，指参加回
                                                           % 归的风格资产编号
                                                           %
fengge=xlsread(fenggefile);
n=length(chois);
options=optimset('TolFun',1e-16,'TolCon',1e-16,'TolX',1e-16,'MaxIter',10000,'LargeScale','on','MaxFunEvals',10000);
%'DiffMaxChange',1e-8,'DiffMinChange',1e-16);
%options=[];
%[w,z]=constr(f,[1;zeros(n-1,1)],)
[w,z]=FMINCON(f,[1;zeros(n-1,1)],[],[],ones(1,n),1,zeros(n,1),ones(n,1),[],options,groupreturn,fengge,chois);
%[w,z]=FMINUNC(f,zeros(n,1),options,groupreturn,fengge,chois);
r2=1-var(groupreturn'-fengge(chois,:)'*w)/var(groupreturn');
%X=FMINCON(FUN,X0,A,B,Aeq,Beq,LB,UB,NONLCON,OPTIONS,P1,P2,...) passes the 
%   problem-dependent parameters P1,P2,... directly to the functions FUN 
%   and NONLCON: feval(FUN,X,P1,P2,...) and feval(NONLCON,X,P1,P2,...).  Pass
%   empty matrices for A, B, Aeq, Beq, OPTIONS, LB, UB, and NONLCON to use the 
%   default values.