alihan/PyPortfolioOpt
1
0
Fork 0
mirror of https://github.com/robertmartin8/PyPortfolioOpt.git synced 2022-11-27 18:02:41 +03:00
Code Issues Packages Projects Releases Wiki Activity

Expose initial_guess (Fixes #183)

Browse Source
This commit is contained in:
robertmartin8
2020-08-31 13:32:47 +08:00
parent 92f2ded0fd
commit f2d98e6924
1 changed files with 5 additions and 1 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
pypfopt/base_optimizer.py
View File

@@ -335,6 +335,7 @@ class BaseConvexOptimizer(BaseOptimizer):
weights_sum_to_one=True,
constraints=None,
solver="SLSQP",
initial_guess=None,
):
"""
Optimise some objective function using the scipy backend. This can
@@ -368,6 +369,8 @@ class BaseConvexOptimizer(BaseOptimizer):
:param solver: which SCIPY solver to use, e.g "SLSQP", "COBYLA", "BFGS".
User beware: different optimisers require different inputs.
:type solver: string
:param initial_guess: the initial guess for the weights, shape (n,) or (n, 1)
:type initial_guess: np.ndarray
:return: asset weights that optimise the custom objective
:rtype: OrderedDict
"""
@@ -379,7 +382,8 @@ class BaseConvexOptimizer(BaseOptimizer):
bound_array = np.vstack((self._lower_bounds, self._upper_bounds)).T
bounds = list(map(tuple, bound_array))
initial_guess = np.array([1 / self.n_assets] * self.n_assets)
if initial_guess is None:
initial_guess = np.array([1 / self.n_assets] * self.n_assets)
# Construct constraints
final_constraints = []