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Promote Solver & Verbose to Constructor Options; internals are now private

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Pat Newell
2020-08-07 15:50:18 -04:00
parent 19320d229b
commit 53b048ae77
17 changed files with 69 additions and 72 deletions
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16
pypfopt/base_optimizer.py
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@@ -47,7 +47,6 @@ class BaseOptimizer:
self.tickers = tickers
# Outputs
self.weights = None
self.verbose = False
def _make_output_weights(self, weights=None):
"""
@@ -142,12 +141,16 @@ class BaseConvexOptimizer(BaseOptimizer):
- ``save_weights_to_file()`` saves the weights to csv, json, or txt.
"""
def __init__(self, n_assets, tickers=None, weight_bounds=(0, 1)):
def __init__(self, n_assets, tickers=None, weight_bounds=(0, 1), solver=None, verbose=False):
"""
:param weight_bounds: minimum and maximum weight of each asset OR single min/max pair
if all identical, defaults to (0, 1). Must be changed to (-1, 1)
for portfolios with shorting.
:type weight_bounds: tuple OR tuple list, optional
:param solver: name of solver. list available solvers with: `cvxpy.installed_solvers()`
:type solver: str, optional (see cvxpy.Problem#_solve for default. spoiler: it's ECOS)
:param verbose: whether performance and debugging info should be printed, defaults to False
:type verbose: bool, optional
"""
super().__init__(n_assets, tickers)
@@ -160,7 +163,8 @@ class BaseConvexOptimizer(BaseOptimizer):
self._upper_bounds = None
self._map_bounds_to_constraints(weight_bounds)
self.solver = None
self._solver = solver
self._verbose = verbose
def _map_bounds_to_constraints(self, test_bounds):
"""
@@ -212,10 +216,10 @@ class BaseConvexOptimizer(BaseOptimizer):
try:
opt = cp.Problem(cp.Minimize(self._objective), self._constraints)
if self.solver is not None:
opt.solve(solver=self.solver, verbose=self.verbose)
if self._solver is not None:
opt.solve(solver=self._solver, verbose=self._verbose)
else:
opt.solve(verbose=self.verbose)
opt.solve(verbose=self._verbose)
except (TypeError, cp.DCPError):
raise exceptions.OptimizationError