dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization

Class SOCPPortfolioProblem1

java.lang.Object

dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.SOCPDualProblem1

dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.SOCPGeneralProblem1

dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.portfoliooptimization.SOCPPortfolioProblem1

All Implemented Interfaces:

ConstrainedOptimProblem, OptimProblem

public class SOCPPortfolioProblem1
extends SOCPGeneralProblem1

Constructs an SOCP problem for portfolio optimization.

Nested Class Summary

Nested classes/interfaces inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.SOCPDualProblem1

SOCPDualProblem1.EqualityConstraints

Constructor Summary

Constructors

Constructor and Description
SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f, Collection<SOCPPortfolioConstraint> constraints) Constructs an SOCP problem for portfolio optimization.
SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f, SOCPPortfolioConstraint[] constraints) Constructs an SOCP problem for portfolio optimization.

Method Summary

Modifier and Type	Method and Description
boolean	areAllConstraintsSatisfied(Vector x) Checks whether the constraints are satisfied with a solution vector x.
int	dimensionOfDomain() Gets the dimension of the original (unstacked) problem.
List<SOCPPortfolioConstraint>	getPortfolioConstraints() Gets the portfolio constraints.
Map<SOCPPortfolioConstraint.Variable,Integer>	getVariables() Get the list of all variables and their beginning indices starting from 0.

Methods inherited from class dev.nm.solver.multivariate.constrained.convex.sdp.socp.problem.SOCPDualProblem1

A_full, A_l_full, A_l, A_q_full, A_q, A_u, b, c_full, c_l_full, c_l, c_q_full, c_q, c_u, dimension, f, flag_s, flag_u, getEqualityConstraints, getLessThanConstraints, m, n_l, n_q, n_u, n

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SOCPPortfolioProblem1

public SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f,
                             SOCPPortfolioConstraint[] constraints)

Constructs an SOCP problem for portfolio optimization.

Parameters:

f - the objective function

constraints - the portfolio constraints

SOCPPortfolioProblem1

public SOCPPortfolioProblem1(SOCPPortfolioObjectiveFunction f,
                             Collection<SOCPPortfolioConstraint> constraints)

Constructs an SOCP problem for portfolio optimization.

Parameters:

f - the objective function

constraints - the portfolio constraints

Method Detail

getPortfolioConstraints

public List<SOCPPortfolioConstraint> getPortfolioConstraints()

Gets the portfolio constraints.

Returns:

the portfolio constraints

dimensionOfDomain

public int dimensionOfDomain()

Gets the dimension of the original (unstacked) problem.

Returns:

the dimension of the original (unstacked) problem

getVariables

public Map<SOCPPortfolioConstraint.Variable,Integer> getVariables()

Get the list of all variables and their beginning indices starting from 0.

Returns:

the list of all variables and their beginning indices

areAllConstraintsSatisfied

public boolean areAllConstraintsSatisfied(Vector x)
                                   throws SOCPPortfolioConstraint.ConstraintViolationException

Checks whether the constraints are satisfied with a solution vector x.

Parameters:

x - a solution vector; the optimal portfolio weights

Returns:

true if and only if all constraints are satisfied

Throws:

SOCPPortfolioConstraint.ConstraintViolationException