public class SOCPNoTradingList2 extends SOCPPortfolioConstraint
The black list constraint is: \[ x_{j}=0, \] for j in the black list. By letting \(y=x+w^{0}\),\(\bar{y}=|x+w^{0}|\) and \(\bar{x}=|x|\), the black list constraints are changed to: \[ y_{j}=w^{0}_{j},\;\bar{y}_{j}=|w^{0}_{j}|,\;\bar{x}_{j}=0, \] for j in the black list. Denote the black list index set as \(BL\), i.e. \(BL=\{j|x_{j}=0\}\). As \(y_{j}=x_{j}+w_{j}^{0}\), the set \(BL\) can be written as \(BL=\{j|y_{j}=w_{j}^{0}\}\). The black list constraints can be written in the following form: \[ ||D_{BL}(y-w^{0})||_{2}\leq0,\;||D_{BL}(\bar{y}-|w^{0}|)||_{2}\leq0,\;||D_{BL}\bar{x}||_{2}\leq0, \] where \(D_{BL}\) is a diagonal matrix. The \(k\)th diagonal entry of \(D_{BL}\), \(D_{BL}(k,k)\), is \(1\) if \(k\in BL\), otherwise it is \(0\). These constraints can be transformed into the standard SOCP form: \[ ||D_{BL}(y-w^{0})||_{2}\leq0\Longleftrightarrow ||A_{1}^{\top}z+C_{1}||_{2}\leq b^{\top}_{1}z+d_{1}\\ A_{1}^{\top}=D_{BL},\; C_{1}=-D_{BL}\times w^{0},\; b_{1}=0_{n\times 1},\; d_{1}=0,\; z=y. \] \[ ||D_{BL}(\bar{y}-|w^{0}|)||_{2}\leq0\Longleftrightarrow ||A_{2}^{\top}z+C_{2}||_{2}\leq b^{\top}_{2}z+d_{2}\\ A_{2}^{\top}=D_{BL},\; C_{2}=-D_{BL}\times |w^{0}|,\; b_{2}=0_{n\times 1},\; d_{2}=0,\; z=\bar{y}. \] \[ ||D_{BL}\bar{x}||_{2}\leq0\Longleftrightarrow ||A_{3}^{\top}z+C_{3}||_{2}\leq b^{\top}_{3}z+d_{3}\\ A_{3}^{\top}=D_{BL},\; C_{3}=0,\; b_{3}=0_{n\times 1},\; d_{3}=0,\; z=\bar{x}. \]
SOCPPortfolioConstraint.ConstraintViolationException, SOCPPortfolioConstraint.VariableFunction.EvaluationException| Constructor and Description |
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SOCPNoTradingList2(Vector w_0,
Matrix D_BL0)
Constructs a black list constraint.
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SOCPNoTradingList2(Vector w_0,
Matrix D_BL0,
double epsilon)
Constructs a black list constraint.
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| Modifier and Type | Method and Description |
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boolean |
areAllConstraintsSatisfied(Vector y)
Checks whether all SOCP constraints represented by this portfolio
constraint are satisfied.
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int |
dimensionOfDomain()
Get the number of variables the function has.
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int |
dimensionOfRange()
Get the dimension of the range space of the function.
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Double |
evaluate(Vector x)
Note:
x here is the trading size, not the position. |
generalConstraints, getVariables, linearEqualities, linearInequalities, newSOCPGeneralConstraints, newSOCPLinearEqualities, newSOCPLinearInequalitiespublic SOCPNoTradingList2(Vector w_0, Matrix D_BL0, double epsilon)
w_0 - the initial positionD_BL0 - the black list matrixepsilon - a precision parameter: when a number |x| ≤ ε,
it is considered 0public boolean areAllConstraintsSatisfied(Vector y) throws SOCPPortfolioConstraint.ConstraintViolationException
SOCPPortfolioConstraintareAllConstraintsSatisfied in class SOCPPortfolioConstrainty - a portfolio solution or allocation; the asset weightstrue if and only if all SOCP constraints are satisfiedSOCPPortfolioConstraint.ConstraintViolationExceptionpublic Double evaluate(Vector x)
x here is the trading size, not the position.
Evaluate the function f at x, where x is from the domain.x - trading sizepublic int dimensionOfDomain()
Functionpublic int dimensionOfRange()
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