def __init__(self, method: str = None, check: bool = False, **kwargs):
"""
:param method:
:param check:
:param kwargs:
"""
# self.model_holder = model_holder
if check:
getattr(opt3, method)
self.method = method
self.kwargs_data = kwargs
# add custom constraints
if 'constr_cls' in kwargs.keys():
if isinstance(kwargs['constr_cls'], str) and os.path.exists(
kwargs['constr_cls']):
self.custom_constr_cls = create_constraints_holder(
kwargs['constr_cls'])
elif isinstance(kwargs['constr_cls'],
MetaConstraints) or issubclass(
kwargs['constr_cls'], MetaConstraints):
self.custom_constr_cls = kwargs['constr_cls']
else:
raise ValueError(
'constr_cls got wrong type! only accept constr_cls.yaml or constraints class'
)
else:
self.custom_constr_cls = None
def test_main_entry_no_instance_test_constr_cls_create_instance(self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
result = RunOpt.run_opt_single(self.kwargs_data, [],
self.method,
constr_cls=constr_cls)
self.assertEqual(result.success, True)
def test_main_entry_instance_test_constr_cls_create_instance(self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
constraint_param_list = []
Ro = RunOpt(method=self.method,
constr_cls=constr_cls,
**self.kwargs_data)
result = Ro.run_opt(constraint_param_list, slack=False)
self.assertEqual(result.success, True)
def test_main_entry_no_instance_test_constr_cls_create_instance(self):
kwargs_data = {'stockpool': stock_pool, 'sigma2': cov_price}
constraint_param_list = []
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
result = RunOpt.run_opt_single(kwargs_data,
constraint_param_list,
self.method,
constr_cls=constr_cls)
self.assertEqual(result.success, True)
def run_opt_single(cls,
kwargs_data: dict,
constraint_param_list: list,
method: str,
step_length: float = 0.01,
bounds=None,
default_lower: float = 0,
default_upper: float = 1,
constr_cls=Constraints,
if_exists: str = 'update',
**kwargs):
"""
run optimization
:param kwargs_data:
:param constraint_param_list:
:param method:
:param step_length:
:param bounds:
:param default_lower:
:param default_upper:
:param constr_cls:
:return:
"""
if isinstance(constr_cls, str) and os.path.exists(constr_cls):
constr_cls = create_constraints_holder(constr_cls)
for k, v in kwargs.items():
if k in kwargs_data.keys():
if if_exists == 'update':
kwargs_data[k] = v
elif if_exists == 'ignore':
pass
else:
raise ValueError('kwargs conflict!')
else:
kwargs_data[k] = v
# parse constraint parameters to constraint objects
len_pool = len(kwargs_data['stockpool'])
bounds = _SimpleOpt.create_bounds(len_pool, bounds, default_lower,
default_upper)
constraints = list(
cls.param2constraints(constraint_param_list,
step_length=step_length,
constr_cls=constr_cls))
# run optimization
res = getattr(opt3, method).run_opt(bounds=bounds,
constraints=constraints,
**kwargs_data)
return res
def test_main_entry_instance_test_constr_cls_create_instance(self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
constraint_param_list = []
Ro = RunOpt(method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
lambda_r=2,
portfolio_returns=return_matrix,
constr_cls=constr_cls)
result = Ro.run_opt(constraint_param_list, slack=False)
self.assertEqual(result.success, True)
def test_instance_constraint_slack_test_constr_cls_create_instance(self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.02
}, 1, 'ineq')]
Ro = RunOpt(method=self.method,
stockpool=stock_pool,
sigma2=cov_price,
constr_cls=constr_cls)
result = Ro.run_opt(constraint_param_list, slack=True)
self.assertEqual(result.success, True)
def test_instance_constraint_slack_test_constr_cls2_create_instance_test_step_length(
self):
from QuantOPT.conf.conf import setting_yaml_path
from QuantOPT.constraints.constraints import create_constraints_holder
constr_cls = create_constraints_holder(setting_yaml_path)
# add the count of weight value which is greater than 0 should be 5 or more constraints!
constraint_param_list = [('general_count_lower_rc', {
'bound_value': 10.5
}, 1, 'ineq')]
Ro = RunOpt(method=self.method, stockpool=stock_pool, sigma2=cov_price)
result = Ro.run_opt(constraint_param_list,
slack=True,
step_length=0.1,
constr_cls=constr_cls)
self.assertEqual(result.success, True)
def run_opt_slack(cls,
kwargs_data,
constraint_param_list: list,
method: str,
step_length: float = 0.01,
default_lower: float = 0,
default_upper: float = 1,
max_try_count: int = 10,
bounds=None,
constr_cls=Constraints,
show_constraints: bool = False,
if_exists: str = 'update',
**kwargs):
"""
run_opt_slack, run optimization with slack
给定优化参数方法，使用opt3模块中的对应的优化方法进行优化，如果不成功，则使用slack方法进行优化，直到达到指定的最大尝试次数或者最大优先等级
:param if_exists:
:param kwargs_data:
:param constraint_param_list:
:param method:
:param step_length:
:param default_lower:
:param default_upper:
:param max_try_count:
:param bounds:
:param constr_cls:
:param show_constraints:
:return:
"""
global __current_priority__
# __first_time__ = True
__current_priority__ = 1
_funcs, _kwargs, priorities, _constraint_types = zip(
*constraint_param_list)
max_priority = max(priorities)
active_slack = max_priority != 0
if isinstance(constr_cls, str) and os.path.exists(constr_cls):
constr_cls = create_constraints_holder(constr_cls)
res = cls.run_opt_single(kwargs_data,
constraint_param_list,
method,
step_length=step_length,
bounds=bounds,
default_lower=default_lower,
default_upper=default_upper,
constr_cls=constr_cls,
if_exists=if_exists,
**kwargs)
cls.switch_first_time()
if active_slack:
count = 0
while not res.success and count < max_try_count:
# cls.increase_max_try_count()
res = cls.run_opt_single(kwargs_data,
constraint_param_list,
method,
step_length=step_length,
bounds=bounds,
default_lower=default_lower,
default_upper=default_upper,
constr_cls=constr_cls,
if_exists=if_exists,
**kwargs)
if count >= max_try_count:
warnings.warn(
'max try count reached! will improve priority level')
count = 0
if cls.get_current_priority() > max_priority:
warnings.warn(
'max priority reach! will end automatically!')
break
else:
cls.increase_priority_level()
else:
count += 1
if show_constraints:
return res, constraint_param_list
else:
return res
else:
return res