public class SOCPNoTradingList1 extends SOCPPortfolioConstraint
SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.VariableFunction.EvaluationException| Constructor and Description |
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SOCPNoTradingList1(Vector w_0,
Matrix D_BL0)
Constructs a black list constraint.
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SOCPNoTradingList1(Vector w_0,
Matrix D_BL0,
double epsilon)
Constructs a black list constraint.
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SOCPNoTradingList1(Vector w_0,
Vector bl)
Constructs a black list constraint.
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| Modifier and Type | Method and Description |
|---|---|
boolean |
areAllConstraintsSatisfied(Vector y)
Checks whether all SOCP constraints represented by this portfolio
constraint are satisfied.
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int |
dimensionOfDomain()
Get the number of variables the function has.
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int |
dimensionOfRange()
Get the dimension of the range space of the function.
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Double |
evaluate(Vector x)
Note:
x here is the trading size, not the position.
Evaluate the function f at x, where x is from the domain. |
getVariables, iterator, newSOCPGeneralConstraintsclone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, waitforEach, spliteratorpublic SOCPNoTradingList1(Vector w_0, Matrix D_BL0, double epsilon)
w_0 - the initial positionD_BL0 - the black list matrixepsilon - a precision parameter: when a number |x| ≤ ε,
it is considered 0public SOCPNoTradingList1(Vector w_0, Vector bl)
w_0 - the initial positionbl - the black list vector; (1 means blacklisted; 0 otherwise)public boolean areAllConstraintsSatisfied(Vector y) throws SOCPPortfolioConstraint.ConstraintViolationException
SOCPPortfolioConstraintareAllConstraintsSatisfied in class SOCPPortfolioConstrainty - a portfolio solution or allocation; the asset weightstrue if and only if all SOCP constraints are satisfiedSOCPPortfolioConstraint.ConstraintViolationExceptionpublic Double evaluate(Vector x)
x here is the trading size, not the position.
Evaluate the function f at x, where x is from the domain.x - trading sizepublic int dimensionOfDomain()
Functionpublic int dimensionOfRange()
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