Class SOCPSectorExposure
- java.lang.Object
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- dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint
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- tech.nmfin.portfoliooptimization.socp.constraints.ybar.SOCPSectorExposure
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- All Implemented Interfaces:
Function<Vector,Double>,RealScalarFunction
public class SOCPSectorExposure extends SOCPPortfolioConstraint
Transforms a sector exposure constraint into the compact SOCP form.
The sector exposure constraint is: \[ \sum_{j\in S_i}|w_j^0+x_j|\leq u_i,\quad i=1,\ldots,k, \] where \(S_i\) is the \(i\)th section indicator. By letting \(\bar{y}=|x+w^{0}|\), the sector exposure constraint can be written as: \[ \sum_{j\in S_i}\bar{y}_{j}\leq u_i, i=1,\cdots,k. \] And it is equivalent to: \[ ||0||_{2}\leq -\sum_{j\in S_{i}}\bar{y}_{j}+u_{i},\; i=1,\cdots,k. \] As a result the standard SOCP form of the sector exposure constraints can be written as: \[ ||0||_{2}\leq -\sum_{j\in S_{i}}\bar{y}_{j}+u_{i}\Longleftrightarrow ||A_{i}^{\top}z+C_{i}||_{2}\leq b^{\top}_{i}z+d_{i},\quad i=1,\cdots,k\\ A_{i}^{\top}=0_{1\times n},\; C_{i}=0,\; b_{i}=-\sum_{j\in S_{i}}e_{j},\; d_{i}=u_{i},\; z=\bar{y}, \] where \(e_{j}\) is a \(n\) dimensional vector whose \(j\)th entry is \(1\) and the other entries are \(0\).- See Also:
- "Reformulate the Portfolio Optimization Problem as a Second Order Cone Programming Problem, Version 7."
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Nested Class Summary
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Nested classes/interfaces inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint
SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.Variable
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Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function
Function.EvaluationException
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Constructor Summary
Constructors Constructor Description SOCPSectorExposure(Vector w_0, Vector[] S, Vector u)Constructs a sector exposure constraint.SOCPSectorExposure(Vector w_0, Vector[] S, Vector u, double epsilon)Constructs a sector exposure constraint.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description booleanareAllConstraintsSatisfied(Vector y)Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.intdimensionOfDomain()Get the number of variables the function has.intdimensionOfRange()Get the dimension of the range space of the function.Doubleevaluate(Vector y)Evaluate the function f at x, where x is from the domain.-
Methods inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint
generalConstraints, getVariables, linearEqualities, linearInequalities, newSOCPGeneralConstraints, newSOCPLinearEqualities, newSOCPLinearInequalities
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Constructor Detail
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SOCPSectorExposure
public SOCPSectorExposure(Vector w_0, Vector[] S, Vector u, double epsilon)
Constructs a sector exposure constraint.- Parameters:
w_0- the initial positionS- the sector indicatorsu- the sector exposuresepsilon- a precision parameter: when a number |x| ≤ ε, it is considered 0
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Method Detail
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areAllConstraintsSatisfied
public boolean areAllConstraintsSatisfied(Vector y) throws SOCPPortfolioConstraint.ConstraintViolationException
Description copied from class:SOCPPortfolioConstraintChecks whether all SOCP constraints represented by this portfolio constraint are satisfied.- Specified by:
areAllConstraintsSatisfiedin classSOCPPortfolioConstraint- Parameters:
y- a portfolio solution or allocation; the asset weights- Returns:
trueif and only if all SOCP constraints are satisfied- Throws:
SOCPPortfolioConstraint.ConstraintViolationException
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evaluate
public Double evaluate(Vector y)
Description copied from interface:FunctionEvaluate the function f at x, where x is from the domain.- Parameters:
y- x- Returns:
- f(x)
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dimensionOfDomain
public int dimensionOfDomain()
Description copied from interface:FunctionGet the number of variables the function has. For example, for a univariate function, the domain dimension is 1; for a bivariate function, the domain dimension is 2.- Returns:
- the number of variables
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dimensionOfRange
public int dimensionOfRange()
Description copied from interface:FunctionGet the dimension of the range space of the function. For example, for a Rn->Rm function, the dimension of the range is m.- Returns:
- the dimension of the range
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