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Use add_constraint

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This commit is contained in:
phschiele
2021-05-19 00:04:01 +02:00
parent e0370d4dbe
commit 6d6df0897b
4 changed files with 25 additions and 34 deletions
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12
pypfopt/base_optimizer.py
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@@ -221,8 +221,8 @@ class BaseConvexOptimizer(BaseOptimizer):
self._lower_bounds = np.nan_to_num(lower, nan=-1)
self._upper_bounds = np.nan_to_num(upper, nan=1)
self.add_constraint(lambda x: x >= self._lower_bounds)
self.add_constraint(lambda x: x <= self._upper_bounds)
self.add_constraint(lambda w: w >= self._lower_bounds)
self.add_constraint(lambda w: w <= self._upper_bounds)
def is_parameter_defined(self, parameter_name: str) -> bool:
is_defined = False
@@ -354,10 +354,10 @@ class BaseConvexOptimizer(BaseOptimizer):
)
for sector in sector_upper:
is_sector = [sector_mapper[t] == sector for t in self.tickers]
self.add_constraint(lambda x: cp.sum(x[is_sector]) <= sector_upper[sector])
self.add_constraint(lambda w: cp.sum(w[is_sector]) <= sector_upper[sector])
for sector in sector_lower:
is_sector = [sector_mapper[t] == sector for t in self.tickers]
self.add_constraint(lambda x: cp.sum(x[is_sector]) >= sector_lower[sector])
self.add_constraint(lambda w: cp.sum(w[is_sector]) >= sector_lower[sector])
def convex_objective(self, custom_objective, weights_sum_to_one=True, **kwargs):
"""
@@ -387,7 +387,7 @@ class BaseConvexOptimizer(BaseOptimizer):
self._objective += obj
if weights_sum_to_one:
self.add_constraint(lambda x: cp.sum(x) == 1)
self.add_constraint(lambda w: cp.sum(w) == 1)
return self._solve_cvxpy_opt_problem()
@@ -451,7 +451,7 @@ class BaseConvexOptimizer(BaseOptimizer):
# Construct constraints
final_constraints = []
if weights_sum_to_one:
final_constraints.append({"type": "eq", "fun": lambda x: np.sum(x) - 1})
final_constraints.append({"type": "eq", "fun": lambda w: np.sum(w) - 1})
if constraints is not None:
final_constraints += constraints