public class SOCPPortfolioProblem extends SOCPGeneralProblem
SOCPDualProblem.EqualityConstraints
Constructor and Description |
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SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f,
Collection<SOCPPortfolioConstraint> constraints)
Constructs an SOCP problem for portfolio optimization.
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SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f,
SOCPPortfolioConstraint[] constraints)
Constructs an SOCP problem for portfolio optimization.
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Modifier and Type | Method and Description |
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boolean |
areAllConstraintsSatisfied(Vector x)
Checks whether the constraints are satisfied with a solution vector x.
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int |
dimensionOfDomain()
Gets the dimension of the original (unstacked) problem.
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List<SOCPPortfolioConstraint> |
getPortfolioConstraints()
Gets the portfolio constraints.
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Map<SOCPPortfolioConstraint.Variable,Integer> |
getVariables()
Get the list of all variables and their beginning indices starting from 0.
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A, A, b, c, c, dimension, f, getEqualityConstraints, getLessThanConstraints, m, n, q
public SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f, SOCPPortfolioConstraint[] constraints)
f
- the objective functionconstraints
- the portfolio constraintspublic SOCPPortfolioProblem(SOCPPortfolioObjectiveFunction f, Collection<SOCPPortfolioConstraint> constraints)
f
- the objective functionconstraints
- the portfolio constraintspublic List<SOCPPortfolioConstraint> getPortfolioConstraints()
public int dimensionOfDomain()
public Map<SOCPPortfolioConstraint.Variable,Integer> getVariables()
public boolean areAllConstraintsSatisfied(Vector x) throws SOCPPortfolioConstraint.ConstraintViolationException
x
- a solution vector; the optimal portfolio weightstrue
if and only if all constraints are satisfieddev.nm.optimization.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint.ConstraintViolationException
SOCPPortfolioConstraint.ConstraintViolationException
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