R quadprog error: (list) object cannot be coerced to type 'double'
The issue is with amat
and dmat
-- they are not matrices but data.frames.
use:
# after reading them into R
amat <- as.matrix(amat)
dmat <- as.matrix(dmat)
Then you can transpose, and whateverelse you'd like.
You can confirm that this is the source of the error by any of the following:
is(amat)
is.data.frame(amat)
is.matrix(amat)
as.numeric(amat)
## This should give you a similar error to the one you are seeing.
user3390169
Updated on July 09, 2022Comments
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user3390169 almost 2 years
I am moving along in my understanding of R but I have hit another snag when it comes to portfolio optimization. I have a program that spits out .csv files for a portfolio of assets. The first is the portfolio's variance/covariance matrix: covar.csv and the second is the expected returns of the assets: fwdCost.csv. I am trying to set the returns equal to -2,200,000 minimize the risk to the portfolio (weights must be between 0 and 1). I think my problem has something to do with my .csv files but I cannot figure out why solve.QP doesn't like them.
> library(quadprog) > dmat<-read.csv(file="C:/Users/Desktop/RFrontier/covar.csv", head=TRUE, sep=",") > dvec<-matrix(0, 1,length(dmat)) > amat<-read.csv(file="C:/Users/Desktop/RFrontier/fwdCost.csv", header=TRUE, sep=",") > amat<-t(amat) > x<-matrix(0, length(dmat), length(dmat)) > diag(x)<-1 > amat<-cbind(amat,x) > x<--x > amat<-cbind(amat,x) > bvec<-c(-2200000, rep(0, length(dmat)), rep(-1,length(dmat))) > solve.QP(dmat, dvec, amat, bvec)
yields this error: Error in solve.QP(dmat, dvec, amat, bvec) : (list) object cannot be coerced to type 'double'