# Class SOCPMaximumLoan

All Implemented Interfaces:
Function<Vector,Double>, RealScalarFunction

public class SOCPMaximumLoan extends SOCPPortfolioConstraint
Transforms a maximum loan constraint into the compact SOCP form. The maximum loan constraint is: $x_j+\max(0,w_j^0)\geq l_j,\quad l_j\leq 0,\quad j=1,\ldots,n.$ By letting $$y=x+w^{0}$$, the maximum loan constraints are changed to: $y_j-w_{j}^{0}+\max(0,w_j^0)\geq l_j,\quad l_j\leq 0,\quad j=1,\ldots,n.$ Because $$\max(0,w_j^0)\Longleftrightarrow \frac{|w_j^0|+w_j^0}{2}$$, we have $||0||_{2}\leq y_{j}+\frac{|w_j^0|-w_j^0}{2}-l_{j},\quad l_j\leq 0,\quad j=1,\ldots,n.$ And the above constraints can be transformed into the standard SOCP form: $||0||_{2}\leq y_{j}+\frac{|w_j^0|-w_j^0}{2}-l_{j}\Longleftrightarrow ||A_{j}^{\top}z+C_{j}||_{2}\leq b^{\top}_{j}z+d_{j},\quad j=1,\cdots,n\\ A_{j}^{\top}=0_{1\times n},\; C_{j}=0,\; b_{j}=e_{j},\; d_{j}=\frac{|w_j^0|-w_j^0}{2}-l_{j},\; z=y,$ where $$e_{j}$$ is a $$n$$ dimensional vector whose $$j$$th entry is $$1$$ and the rest entries are $$0$$.
• "Reformulate the Portfolio Optimization Problem as a Second Order Cone Programming Problem, Version 7."

## Nested classes/interfaces inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioConstraint

SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.Variable

## Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function

Function.EvaluationException
• ## Constructor Summary

Constructors
Constructor
Description
SOCPMaximumLoan(Vector w_0, Vector l)
Constructs a maximum loan constraint.
SOCPMaximumLoan(Vector w_0, Vector l, double epsilon)
Constructs a maximum loan constraint.
• ## Method Summary

Modifier and Type
Method
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 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

### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ## Constructor Details

• ### SOCPMaximumLoan

public SOCPMaximumLoan(Vector w_0, Vector l, double epsilon)
Constructs a maximum loan constraint.
Parameters:
w_0 - the initial position
l - the maximum loan
epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0
• ### SOCPMaximumLoan

public SOCPMaximumLoan(Vector w_0, Vector l)
Constructs a maximum loan constraint.
Parameters:
w_0 - the initial position
l - the maximum loan
• ## Method Details

• ### areAllConstraintsSatisfied

public boolean areAllConstraintsSatisfied(Vector y) throws SOCPPortfolioConstraint.ConstraintViolationException
Description copied from class: SOCPPortfolioConstraint
Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.
Specified by:
areAllConstraintsSatisfied in class SOCPPortfolioConstraint
Parameters:
y - a portfolio solution or allocation; the asset weights
Returns:
true if and only if all SOCP constraints are satisfied
Throws:
SOCPPortfolioConstraint.ConstraintViolationException
• ### evaluate

public Double evaluate(Vector y)
Description copied from interface: Function
Evaluate the function f at x, where x is from the domain.
Parameters:
y - x
Returns:
f(x)
• ### dimensionOfDomain

public int dimensionOfDomain()
Description copied from interface: Function
Get 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
• ### dimensionOfRange

public int dimensionOfRange()
Description copied from interface: Function
Get 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