tech.nmfin.portfoliooptimization.socp.constraints

Class SOCPLinearMaximumLoan

java.lang.Object

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

tech.nmfin.portfoliooptimization.socp.constraints.SOCPLinearMaximumLoan

All Implemented Interfaces:

Function<Vector,Double>, RealScalarFunction

public class SOCPLinearMaximumLoan
extends SOCPPortfolioConstraint

A maximum loan constraint. \[ x_j + \max(0, w^0_j) \leq l_j, \quad l_j \leq 0 \] where \(w^0_j\) and \(x_j\) are the initial and the additional weights for asset \(i\) respectively.

Nested Class Summary

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

SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.Variable

Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function

Function.EvaluationException

Field Summary

Fields

Modifier and Type	Field and Description
static double	DEFAULT_EPSILON

Constructor Summary

Constructors

Constructor and Description
SOCPLinearMaximumLoan(Vector w0, Vector l) Creates a maximum loan constraint.
SOCPLinearMaximumLoan(Vector w0, Vector l, double epsilon) Creates a maximum loan constraint.

Method Summary

Modifier and Type	Method and Description
boolean	areAllConstraintsSatisfied(Vector y) Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.
int	dimensionOfDomain() Get the number of variables the function has.
int	dimensionOfRange() Get the dimension of the range space of the function.
Double	evaluate(Vector y) Evaluate the function f at x, where x is from the domain.

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

generalConstraints, getVariables, linearEqualities, linearInequalities, newSOCPGeneralConstraints, newSOCPLinearEqualities, newSOCPLinearInequalities

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT_EPSILON

public static final double DEFAULT_EPSILON

See Also:

Constant Field Values

Constructor Detail

SOCPLinearMaximumLoan

public SOCPLinearMaximumLoan(Vector w0,
                             Vector l)

Creates a maximum loan constraint.

Parameters:

w0 - the initial weight

l - the maximum loan vector; \(l_i\) is the maximum loan for asset \(i\)

SOCPLinearMaximumLoan

public SOCPLinearMaximumLoan(Vector w0,
                             Vector l,
                             double epsilon)

Creates a maximum loan constraint.

Parameters:

w0 - the initial weight

l - the maximum loan vector; \(l_i\) is the maximum loan for asset \(i\)

epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0

Method Detail

areAllConstraintsSatisfied

public boolean areAllConstraintsSatisfied(Vector y)
                                   throws SOCPPortfolioConstraint.ConstraintViolationException

Description copied from class: SOCPPortfolioConstraint

Checks whether all SOCP constraints represented by this portfolio constraint are satisfied.

Specified by:

areAllConstraintsSatisfied in class SOCPPortfolioConstraint

Parameters:

y - a portfolio solution or allocation; the asset weights

Returns:

true if and only if all SOCP constraints are satisfied

Throws:

SOCPPortfolioConstraint.ConstraintViolationException

evaluate

public Double evaluate(Vector y)

Description copied from interface: Function

Evaluate the function f at x, where x is from the domain.

Parameters:

y - x

Returns:

f(x)

dimensionOfDomain

public int dimensionOfDomain()

Description copied from interface: Function

Get the number of variables the function has. For example, for a univariate function, the domain dimension is 1; for a bivariate function, the domain dimension is 2.

Returns:

the number of variables

dimensionOfRange

public int dimensionOfRange()

Description copied from interface: Function

Get the dimension of the range space of the function. For example, for a \(R^{n}\to R^{m}\) function, the dimension of the range is m.

Returns:

the dimension of the range