startMehrotra = El.mpi.Time()
El.QPAffine(Q, A, G, b, c, h, x, y, z, s, ctrl)
endMehrotra = El.mpi.Time()
if worldRank == 0:
print('Mehrotra time: {} seconds'.format(endMehrotra - startMehrotra))
if display:
El.Display(x, "x Mehrotra")
El.Display(y, "y Mehrotra")
El.Display(z, "z Mehrotra")
El.Display(s, "s Mehrotra")
d = El.DistMatrix()
El.Zeros(d, n, 1)
El.Hemv(El.LOWER, 1., Q, x, 0., d)
obj = El.Dot(x, d) / 2 + El.Dot(c, x)
if worldRank == 0:
print('Mehrotra (1/2) x^T Q x + c^T x = {}'.format(obj))
if testIPF:
ctrl.approach = El.QP_IPF
ctrl.ipfCtrl.primalInit = manualInit
ctrl.ipfCtrl.dualInit = manualInit
ctrl.ipfCtrl.progress = progress
ctrl.ipfCtrl.lineSearchCtrl.progress = progress
El.Copy(xOrig, x)
El.Copy(yOrig, y)
El.Copy(zOrig, z)
El.Copy(sOrig, s)
startIPF = El.mpi.Time()
El.QPAffine(Q, A, G, b, c, h, x, y, z, s, ctrl)
ctrl.mehrotraCtrl.progress = progress
El.Copy(xOrig, x)
El.Copy(yOrig, y)
El.Copy(zOrig, z)
startMehrotra = El.mpi.Time()
El.LPDirect(A, b, c, x, y, z, ctrl)
endMehrotra = El.mpi.Time()
if worldRank == 0:
print "Mehrotra time:", endMehrotra - startMehrotra
if display:
El.Display(x, "x Mehrotra")
El.Display(y, "y Mehrotra")
El.Display(z, "z Mehrotra")
obj = El.Dot(c, x)
if worldRank == 0:
print "Mehrotra c^T x =", obj
if testIPF:
ctrl.approach = El.LP_IPF
ctrl.ipfCtrl.primalInit = manualInit
ctrl.ipfCtrl.dualInit = manualInit
ctrl.ipfCtrl.progress = progress
ctrl.ipfCtrl.lineSearchCtrl.progress = progress
El.Copy(xOrig, x)
El.Copy(yOrig, y)
El.Copy(zOrig, z)
startIPF = El.mpi.Time()
El.LPDirect(A, b, c, x, y, z, ctrl)
endIPF = El.mpi.Time()
ctrl.mehrotraCtrl.resolveReg = False
startLOP = El.mpi.Time()
x = El.LongOnlyPortfolio(d,F,c,gamma,ctrl)
endLOP = El.mpi.Time()
if worldRank == 0:
print('LOP time (no resolve reg. w/ equil): {} seconds'.format( \
endLOP-startLOP))
if display:
El.Display( x, "x" )
# Compute the risk-adjusted return
# ================================
e = El.DistMultiVec()
f = El.DistMultiVec()
El.Copy( x, e )
El.DiagonalScale( El.LEFT, El.NORMAL, d, e )
El.Zeros( f, r, 1 )
El.Multiply( El.TRANSPOSE, 1., F, x, 0., f )
El.Multiply( El.NORMAL, 1., F, f, 1., e )
rar = El.Dot(c,x) - gamma*El.Dot(x,e)
if worldRank == 0:
print('c^T x - gamma x^T (D + F F^T) x = {}'.format(rar))
xOneNorm = El.EntrywiseNorm( x, 1 )
xTwoNorm = El.Nrm2( x )
if worldRank == 0:
print('|| x ||_1 = {}'.format(xOneNorm))
print('|| x ||_2 = {}'.format(xTwoNorm))
El.Finalize()
