R Tools for Portfolio Optimization 2 Backgrounder Rotella Capital Management Quantitative Research Analyst Systematic CTA hedge fund trading 80+ global futures and foreignexchange markets Insightful Corporation Director of Financial Engineering Developers of S-PLUS ®, S+FinMetrics ®, and S+NuOPT ® J.E. Moody, LLC Financial Engineer

*Today’s Lecture Objectives 1 Being able to characterize different optimization problems 2 Learn how to solve optimization problems in R 3 Understand the idea behind common optimization algorithms*Apr 28, 2017 · General-purpose Optimization in lieu of Gradient Descent. We can use gradient descent to get the optimal theta values but using optimazation libraries converges quicker. So, let’s use the optim general-purpose Optimization in R to get the required theta values and the associated cost.