DESCRIPTION

 Package: CLA
-Version: 0.90-0
-Date: 2017-09-25
+Version: 0.90-1
+Date: 2018-01-25
 Title: Critical Line Algorithm in Pure R
 Author: Yanhao Shi <syhelena@163.com>,
 	Martin Maechler <maechler@stat.math.ethz.ch>
 Maintainer: Martin Maechler <maechler@stat.math.ethz.ch>
 Depends: R (>= 3.2.0)
-Imports: stats, graphics
+Imports: stats, grDevices, graphics
 Suggests: fGarch, FRAPO, Matrix
 Description: Implements 'Markovitz' Critical Line Algorithm ('CLA') for
   classical mean-variance portfolio optimization.  Care has been taken for

NAMESPACE

@@ -3,9 +3,14 @@
 
 importFrom("stats",
            cor, predict, uniroot)
-## importFrom(, ..)
+
+importFrom("grDevices", adjustcolor)
+
+importFrom("graphics", plot)# including the plot.default() method
+
 ## not yet on CRAN : importFrom("sfsmisc", funEnv)
 
+## -------------- CLA  Exports -----------------------
 export(CLA
        , MS
        , findSig, findMu
@@ -13,3 +18,4 @@ export(CLA
        )
 
 S3method(print, CLA)
+S3method(plot, CLA)

R/CLA.R

@@ -194,4 +194,34 @@ print.CLA <- function(x, ...) {
     invisible(x)
 }
 
-## TODO:  plot method -- efficient frontier
+### TODO:  plot method -- efficient frontier
+
+## As basically from  .../YanhaoShi/R/Functions/Plot.R :
+MS_plot <- function(ms, type = "o",
+                    main = "Efficient Frontier",
+                    xlab = expression(sigma(w)),
+                    ylab = expression(mu(w)),
+                    col = adjustcolor("blue", alpha.f = 0.5),
+                    pch = 16, ...) {
+    ## list of weights_set, legend...
+    stopifnot(is.matrix(ms), ncol(ms) == 2)
+    plot(ms[,"Sig"], ms[,"Mu"], type=type, pch=pch, col=col,
+         xlab = xlab, ylab=ylab, main=main, ...)
+}
+
+
+## FIXME:
+## 1) Learn from Tobias Setz to plot the lower part of the feasible region
+## 2) Better title, using 'call'
+## 3) mark some critical points particularly
+## 4) give information about the *number* critical points / weights sets
+## 5) consider using a  'add = FALSE' argument and then use 'lines()'
+plot.CLA <- function(x, type = "o", main = "Efficient Frontier",
+                    xlab = expression(sigma(w)),
+                    ylab = expression(mu(w)),
+                    col = adjustcolor("blue", alpha.f = 0.5),
+                    pch = 16, ...) {
+    stopifnot(is.matrix(ms <- x$MSweights))
+    plot(ms[,"Sig"], ms[,"Mu"], type=type, pch=pch, col=col,
+         xlab=xlab, ylab=ylab, main=main, ...)
+}

TODO

 ##-*- org -*-->  Emacs .. [Tab] key + [Org] menu; C-c C-o to follow links
 
 * Before release of package
-** DONE CLA() should return a (S3) class, "CLA"
-*** TODO --> print() and plot() (S3) methods**** plot(): plot efficient frontier
 ** check arguments  e.g., lB <= uB, sum upper Bounds >= 1
+** TODO References -->
+*** 1) Master thesis: I'd like the thesis to be on our web page
+*** 2) References from the thesis, including the "buried" python-paper with *WRONG* algo
+** DONE CLA() should return a (S3) class, "CLA" w/ print() and plot() methods
+
+* With more time, also, e.g., for a short R Journal paper
+** SparseMatrix plot of the weights

tests/SP500-ex.R

@@ -3,6 +3,12 @@ require(CLA)
 b64 <- .Machine$sizeof.pointer == 8
 cat(sprintf("%d bit platform type '%s'\n", if(b64) 64 else 32, .Platform$OS.type))
 (nonWindows <- .Platform$OS.type != "windows")
+arch <- Sys.info()[["machine"]]
+.M <- .Machine; str(.M[grep("^sizeof", names(.M))]) ## differentiate long-double..
+## Do we have 64bit but no-long-double ?
+b64nLD <- (arch == "x86_64" && .M$sizeof.longdouble != 16)
+if(b64nLD) arch <- paste0(arch, "--no-long-double")
+arch
 
 data(muS.sp500)
 
@@ -104,18 +110,39 @@ b32.n0[nn]  <- b64.n0[nn] + 1L
 nn <- c("AET", "BCR", "CI", "CL", "ED", "FE", "HAL", "MCD", "SII", "SYK")
 b32.n0[nn]  <- b64.n0[nn] - 1L
 
+## 64-bit Linux  -no-long-double:
+b64nLD.n0 <- b64.n0
+nn <- c("AZO", "BAX", "BNI", "CCE", "DVN", "GILD", "INTU", "JNJ", "LH",
+        "MDT", "NOC", "PBG", "SYMC")
+b64nLD.n0[nn] <- b64.n0[nn] + 1L
+nn <- c("ADSK", "BCR", "BDX", "BUD", "CTL", "FE", "MCD", "SII", "SYK")
+b64nLD.n0[nn] <- b64.n0[nn] - 1L
+b64nLD.n0[["XTO"]] <- 99L # = b...  - 3L
+
+non.0.TARG <- if(b64) { if(b64nLD) b64nLD.n0 else b64.n0
+              } else b32.n0
+
 ## see on all platforms what we get;  typically no diff on 64bit
-if(all(non.0.assets ==  if(b64) b64.n0 else b32.n0)) { ## show differences:
+if(all(non.0.assets == non.0.TARG)) { ## show differences:
+    cat("Asset results == non.0.TARG;  showing differences b32 - b64 :\n")
     print(table(b32.n0 -b64.n0))
     dput(names(b64.n0)[b32.n0 -b64.n0 == +1])
     dput(names(b64.n0)[b32.n0 -b64.n0 == -1])
+} else {
+    cat("\n'non.0.assets' differing from non.0.TARG:\n")
+    cat("+1:\n"); dput(names(b64.n0)[non.0.assets - non.0.TARG == +1])
+    cat("-1:\n"); dput(names(b64.n0)[non.0.assets - non.0.TARG == -1])
+    if(any(isB <- abs(non.0.assets - non.0.TARG) > 1)) {
+        cat("more different, showing differences:\n")
+        dput((non.0.assets - non.0.TARG)[isB])
+    }
 }
 
 ## They have the same names and only differ by  +/- 1:
 stopifnot(
     identical(names(b64.n0), names(b32.n0))
     ##                              ______      ______
-  , if(b64) identical(non.0.assets, b64.n0)
+  , if(b64) identical(non.0.assets, non.0.TARG)
     else if(nonWindows) identical(non.0.assets, b32.n0)
     else ## 32-bit Windows
         TRUE ## for now