All Implemented Interfaces:
ConstrainedOptimProblem, OptimProblem

public class SOCPPortfolioProblem1 extends SOCPGeneralProblem1
Constructs an SOCP problem for portfolio optimization.
  • Constructor Details

  • Method Details

    • getPortfolioConstraints

      public List<SOCPPortfolioConstraint> getPortfolioConstraints()
      Gets the portfolio constraints.
      Returns:
      the portfolio constraints
    • dimensionOfDomain

      public int dimensionOfDomain()
      Gets the dimension of the original (unstacked) problem.
      Returns:
      the dimension of the original (unstacked) problem
    • getVariables

      Get the list of all variables and their beginning indices starting from 0.
      Returns:
      the list of all variables and their beginning indices
    • areAllConstraintsSatisfied

      public boolean areAllConstraintsSatisfied(Vector x) throws SOCPPortfolioConstraint.ConstraintViolationException
      Checks whether the constraints are satisfied with a solution vector x.
      Parameters:
      x - a solution vector; the optimal portfolio weights
      Returns:
      true if and only if all constraints are satisfied
      Throws:
      SOCPPortfolioConstraint.ConstraintViolationException