public class SOCPNoTradingList1 extends SOCPPortfolioConstraint
SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.Variable
Function.EvaluationException
Constructor and Description |
---|
SOCPNoTradingList1(Vector w_0,
Matrix D_BL0)
Constructs a black list constraint.
|
SOCPNoTradingList1(Vector w_0,
Matrix D_BL0,
double epsilon)
Constructs a black list constraint.
|
SOCPNoTradingList1(Vector w_0,
Vector bl)
Constructs a black list constraint.
|
Modifier and Type | Method and Description |
---|---|
boolean |
areAllConstraintsSatisfied(Vector y)
Checks whether all SOCP constraints represented by this portfolio
constraint are satisfied.
|
int |
dimensionOfDomain()
Get the number of variables the function has.
|
int |
dimensionOfRange()
Get the dimension of the range space of the function.
|
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, newSOCPGeneralConstraints
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
forEach, spliterator
public 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
SOCPPortfolioConstraint
areAllConstraintsSatisfied
in class SOCPPortfolioConstraint
y
- a portfolio solution or allocation; the asset weightstrue
if and only if all SOCP constraints are satisfiedSOCPPortfolioConstraint.ConstraintViolationException
public 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()
Function
public int dimensionOfRange()
Function
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.