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Merge branch 'v1.2.5' into master

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This commit is contained in:
Robert Martin
2020-08-31 19:59:21 +08:00
committed by GitHub
parent 53b048ae77 188616a418
commit 2afc244c7f
26 changed files with 545 additions and 612 deletions
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10
pypfopt/base_optimizer.py
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@@ -220,8 +220,8 @@ class BaseConvexOptimizer(BaseOptimizer):
opt.solve(solver=self._solver, verbose=self._verbose)
else:
opt.solve(verbose=self._verbose)
except (TypeError, cp.DCPError):
raise exceptions.OptimizationError
except (TypeError, cp.DCPError) as e:
raise exceptions.OptimizationError from e
if opt.status != "optimal":
raise exceptions.OptimizationError
@@ -341,6 +341,7 @@ class BaseConvexOptimizer(BaseOptimizer):
weights_sum_to_one=True,
constraints=None,
solver="SLSQP",
initial_guess=None,
):
"""
Optimise some objective function using the scipy backend. This can
@@ -374,6 +375,8 @@ class BaseConvexOptimizer(BaseOptimizer):
:param solver: which SCIPY solver to use, e.g "SLSQP", "COBYLA", "BFGS".
User beware: different optimisers require different inputs.
:type solver: string
:param initial_guess: the initial guess for the weights, shape (n,) or (n, 1)
:type initial_guess: np.ndarray
:return: asset weights that optimise the custom objective
:rtype: OrderedDict
"""
@@ -385,7 +388,8 @@ class BaseConvexOptimizer(BaseOptimizer):
bound_array = np.vstack((self._lower_bounds, self._upper_bounds)).T
bounds = list(map(tuple, bound_array))
initial_guess = np.array([1 / self.n_assets] * self.n_assets)
if initial_guess is None:
initial_guess = np.array([1 / self.n_assets] * self.n_assets)
# Construct constraints
final_constraints = []