From bad3c0cf7dd75220e56110098b19b81491c9abc5 Mon Sep 17 00:00:00 2001
From: robertmartin8 <martin.robertandrew@gmail.com>
Date: Mon, 20 Jan 2020 20:46:35 +0000
Subject: [PATCH] added hidden API for opt_method

---
 pypfopt/base_optimizer.py     |  2 ++
 pypfopt/efficient_frontier.py | 11 ++++++-----
 2 files changed, 8 insertions(+), 5 deletions(-)

diff --git a/pypfopt/base_optimizer.py b/pypfopt/base_optimizer.py
index b0e6605..aa4b735 100644
--- a/pypfopt/base_optimizer.py
+++ b/pypfopt/base_optimizer.py
@@ -107,6 +107,7 @@ class BaseScipyOptimizer(BaseOptimizer):
     - ``bounds`` - float tuple OR (float tuple) list
     - ``initial_guess`` - np.ndarray
     - ``constraints`` - dict list
+    - ``opt_method`` - the optimisation algorithm to use. Defaults to SLSQP.
     """
 
     def __init__(self, n_assets, tickers=None, weight_bounds=(0, 1)):
@@ -121,6 +122,7 @@ class BaseScipyOptimizer(BaseOptimizer):
         # Optimisation parameters
         self.initial_guess = np.array([1 / self.n_assets] * self.n_assets)
         self.constraints = [{"type": "eq", "fun": lambda x: np.sum(x) - 1}]
+        self.opt_method = "SLSQP"
 
     def _make_valid_bounds(self, test_bounds):
         """
diff --git a/pypfopt/efficient_frontier.py b/pypfopt/efficient_frontier.py
index e8c0eeb..fb67e7b 100644
--- a/pypfopt/efficient_frontier.py
+++ b/pypfopt/efficient_frontier.py
@@ -31,6 +31,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
 
         - ``initial_guess`` - np.ndarray
         - ``constraints`` - dict list
+        - ``opt_method`` - the optimisation algorithm to use. Defaults to SLSQP.
 
     - Output: ``weights`` - np.ndarray
 
@@ -110,7 +111,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
             objective_functions.negative_sharpe,
             x0=self.initial_guess,
             args=args,
-            method="SLSQP",
+            method=self.opt_method,
             bounds=self.bounds,
             constraints=self.constraints,
         )
@@ -129,7 +130,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
             objective_functions.volatility,
             x0=self.initial_guess,
             args=args,
-            method="SLSQP",
+            method=self.opt_method,
             bounds=self.bounds,
             constraints=self.constraints,
         )
@@ -176,7 +177,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
             objective_function,
             x0=self.initial_guess,
             args=args,
-            method="SLSQP",
+            method=self.opt_method,
             bounds=self.bounds,
             constraints=self.constraints,
         )
@@ -235,7 +236,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
             objective_functions.negative_sharpe,
             x0=self.initial_guess,
             args=args,
-            method="SLSQP",
+            method=self.opt_method,
             bounds=self.bounds,
             constraints=constraints,
         )
@@ -294,7 +295,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
             objective_functions.volatility,
             x0=self.initial_guess,
             args=args,
-            method="SLSQP",
+            method=self.opt_method,
             bounds=self.bounds,
             constraints=constraints,
         )