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added hidden API for opt_method

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robertmartin8
2020-01-20 20:46:35 +00:00
parent 7dd8661d35
commit bad3c0cf7d
2 changed files with 8 additions and 5 deletions
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2
pypfopt/base_optimizer.py
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@@ -107,6 +107,7 @@ class BaseScipyOptimizer(BaseOptimizer):
- ``bounds`` - float tuple OR (float tuple) list - ``bounds`` - float tuple OR (float tuple) list
- ``initial_guess`` - np.ndarray - ``initial_guess`` - np.ndarray
- ``constraints`` - dict list - ``constraints`` - dict list
- ``opt_method`` - the optimisation algorithm to use. Defaults to SLSQP.
""" """
def __init__(self, n_assets, tickers=None, weight_bounds=(0, 1)): def __init__(self, n_assets, tickers=None, weight_bounds=(0, 1)):
@@ -121,6 +122,7 @@ class BaseScipyOptimizer(BaseOptimizer):
# Optimisation parameters # Optimisation parameters
self.initial_guess = np.array([1 / self.n_assets] * self.n_assets) self.initial_guess = np.array([1 / self.n_assets] * self.n_assets)
self.constraints = [{"type": "eq", "fun": lambda x: np.sum(x) - 1}] self.constraints = [{"type": "eq", "fun": lambda x: np.sum(x) - 1}]
self.opt_method = "SLSQP"
def _make_valid_bounds(self, test_bounds): def _make_valid_bounds(self, test_bounds):
""" """

11
pypfopt/efficient_frontier.py
View File

@@ -31,6 +31,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
- ``initial_guess`` - np.ndarray - ``initial_guess`` - np.ndarray
- ``constraints`` - dict list - ``constraints`` - dict list
- ``opt_method`` - the optimisation algorithm to use. Defaults to SLSQP.
- Output: ``weights`` - np.ndarray - Output: ``weights`` - np.ndarray
@@ -110,7 +111,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
objective_functions.negative_sharpe, objective_functions.negative_sharpe,
x0=self.initial_guess, x0=self.initial_guess,
args=args, args=args,
method="SLSQP", method=self.opt_method,
bounds=self.bounds, bounds=self.bounds,
constraints=self.constraints, constraints=self.constraints,
) )
@@ -129,7 +130,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
objective_functions.volatility, objective_functions.volatility,
x0=self.initial_guess, x0=self.initial_guess,
args=args, args=args,
method="SLSQP", method=self.opt_method,
bounds=self.bounds, bounds=self.bounds,
constraints=self.constraints, constraints=self.constraints,
) )
@@ -176,7 +177,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
objective_function, objective_function,
x0=self.initial_guess, x0=self.initial_guess,
args=args, args=args,
method="SLSQP", method=self.opt_method,
bounds=self.bounds, bounds=self.bounds,
constraints=self.constraints, constraints=self.constraints,
) )
@@ -235,7 +236,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
objective_functions.negative_sharpe, objective_functions.negative_sharpe,
x0=self.initial_guess, x0=self.initial_guess,
args=args, args=args,
method="SLSQP", method=self.opt_method,
bounds=self.bounds, bounds=self.bounds,
constraints=constraints, constraints=constraints,
) )
@@ -294,7 +295,7 @@ class EfficientFrontier(base_optimizer.BaseScipyOptimizer):
objective_functions.volatility, objective_functions.volatility,
x0=self.initial_guess, x0=self.initial_guess,
args=args, args=args,
method="SLSQP", method=self.opt_method,
bounds=self.bounds, bounds=self.bounds,
constraints=constraints, constraints=constraints,
) )