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efficient semivariance dev

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robertmartin8
2021-01-22 22:36:21 +08:00
parent 4710fb7e19
commit 5c4c4f0413
4 changed files with 194 additions and 43 deletions
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4
pypfopt/base_optimizer.py
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@@ -237,8 +237,8 @@ class BaseConvexOptimizer(BaseOptimizer):
except (TypeError, cp.DCPError) as e:
raise exceptions.OptimizationError from e
if opt.status != "optimal":
raise exceptions.OptimizationError
if opt.status not in {"optimal", "optimal_inaccurate"}:
raise exceptions.OptimizationError("Solver status: {}".format(opt.status))
self.weights = self._w.value.round(16) + 0.0 # +0.0 removes signed zero
return self._make_output_weights()