exit flag -2

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DrLoz
DrLoz on 14 Oct 2018
Commented: Walter Roberson on 16 Oct 2018
Hi, I have the following code which returns exit flag -2. I've tried using different algorithms and different initial starting values. But I'm not sure what to do next. Thanks!
for iPt = 1:nFrontierPts %This is only looping over the FX overlay - I'm adding the exogenous portfolio at the final step
%Max iter and funevals small while debugging - need to increase to deal with exit flag 0
%Currency Specific Frontier
options = optimoptions(@fmincon,'Algorithm','interior-point','MaxIter',1000,'MaxFunEvals',10000);
targetVar_cs = minVar_cs + (iPt-1)*VarIncr_cs;
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
% [tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,100,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),100),options);
if EXITFLAG_cs ==-2
w0_cs = UB_cs';
options = optimoptions(@fmincon,'Algorithm','sqp','MaxIter',1000,'MaxFunEvals',10000);
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
if EXITFLAG_cs==-2
options = optimoptions(@fmincon,'Algorithm','active-set','MaxIter',1000,'MaxFunEvals',10000);
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
end
if EXITFLAG_cs==-2
for ct = 1:10
w0_cs = UB_cs'*rand(1);
options = optimoptions(@fmincon,'Algorithm','active-set','MaxIter',1000,'MaxFunEvals',10000);
[tempWts_cs,FVAL_cs,EXITFLAG_cs,OUTPUT_cs] =fmincon(@(w) ERObjective(w,ExpFXret_cs_t),w0_cs,[],[],[],[],LB_cs,UB_cs, @(w) nonlcon2(w,targetVar_cs,teCap,AssetReturns(t-59:t,1),csAssetReturns(t-59:t,2:7),equRet(t-59:t),covCap),options);
if EXITFLAG_cs ~= -2
break;
end
end
end
end
end
I'm not sure what else to do next. Thanks!
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DrLoz
DrLoz on 15 Oct 2018
oh... I guess this is not looking promising at all... thanks Walter.
Walter Roberson
Walter Roberson on 16 Oct 2018
Okay, I will look at it when I am able. I have some dental work when in the morning, so I am not sure whether I will feel up to doing anything for a couple of days.

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