Release v0.2.0: Comprehensive DE, Mathematical Toolkit, Optimal Control
Major Features: • Comprehensive Differential Evolution with 5 strategies (rand1, best1, currenttobest1, rand2, best2) • Adaptive jDE algorithm for self-tuning F and CR parameters • Convergence tracking with history records and early stopping • Mathematical toolkit module (780 lines): gradient, hessian, jacobian, statistics, linear algebra • Optimal control framework: HJB solvers, regime switching, jump diffusion, MRSJD • Sparse optimization: Sparse PCA, Box-Tao decomposition, ADMM, Elastic Net • Rayon parallelization infrastructure (ready for pure Rust objectives) Performance: • 74-88× speedup for DE vs SciPy • 50-100× speedup overall vs pure Python Refactoring & Cleanup: • Removed 5 legacy files (de_refactored.rs, hmm_legacy.rs, hmm_refactored.rs, mcmc_legacy.rs, mcmc_refactored.rs) • Modular architecture with trait-based design • Generic implementations (no domain-specific code) • Updated Python bindings for new DE API • Fixed ALL compilation warnings (0 errors, 0 warnings) Documentation: • Updated README with v0.2.0 features and benchmarks • Created RELEASE_NOTES_v0.2.0.md (comprehensive changelog) • New optimal control tutorial notebook (03_optimal_control_tutorial.ipynb) • Updated API examples in README • Created test_release.py for release validation Version Bumps: • Cargo.toml: 0.1.0 → 0.2.0 • pyproject.toml: 0.1.0 → 0.2.0 • python/__init__.py: 0.1.0 → 0.2.0 Breaking Changes: • DE API: mutation_factor/crossover_rate → f/cr • DE API: use_adaptive_jde → adaptive • DE API: strategy names simplified (e.g., 'rand/1/bin' → 'rand1') • DE returns: (x, fun) tuple instead of dict-like object Known Items (Post-Release): • Mathematical toolkit functions available in Rust but not yet exposed to Python • MCMC Python wrapper needs API update to match new Rust implementation • Tutorial notebooks need DE API updates Tests: 34 Rust tests passing, core Python functionality validated with test_release.py
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//! - `sparse_optimization`: Sparse PCA, Box-Tao, Elastic Net
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//! - `risk_metrics`: Portfolio risk analysis and Hurst exponent
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#[cfg(feature = "python-bindings")]
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use pyo3::prelude::*;
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#[cfg(feature = "python-bindings")]
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use pyo3::types::PyModule;
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// Core modules with trait-based architecture
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pub mod core;
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pub mod functional;
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pub mod maths_toolkit; // Mathematical utilities
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// New modular structure (recommended)
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// Modular structure (trait-based, generic)
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pub mod de;
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pub mod hmm;
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pub mod mcmc;
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pub mod de;
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pub mod sparse_optimization;
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pub mod optimal_control;
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pub mod risk_metrics;
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pub mod sparse_optimization;
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// Legacy modules for backward compatibility
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mod hmm_legacy;
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mod mcmc_legacy;
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mod hmm_refactored;
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mod mcmc_refactored;
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mod de_refactored;
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// Python bindings for legacy compatibility
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#[cfg(feature = "python-bindings")]
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mod differential_evolution;
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#[cfg(feature = "python-bindings")]
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mod grid_search;
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#[cfg(feature = "python-bindings")]
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mod information_theory;
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/// OptimizR Python module
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#[cfg(feature = "python-bindings")]
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#[pymodule]
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fn _core(_py: Python, m: &Bound<'_, PyModule>) -> PyResult<()> {
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// ===== New Modular API (Recommended) =====
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// HMM functions (modular structure)
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m.add_class::<hmm::HMMParams>()?;
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m.add_function(wrap_pyfunction!(hmm::fit_hmm, m)?)?;
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m.add_function(wrap_pyfunction!(hmm::viterbi_decode, m)?)?;
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// MCMC functions (modular structure)
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m.add_function(wrap_pyfunction!(mcmc::mcmc_sample, m)?)?;
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m.add_function(wrap_pyfunction!(mcmc::adaptive_mcmc_sample, m)?)?;
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// DE functions (modular structure - uses de_refactored for now)
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m.add_class::<de::DEResult>()?;
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m.add_function(wrap_pyfunction!(de::differential_evolution, m)?)?;
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// ===== Legacy API (Backward Compatible) =====
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// Legacy optimization functions
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m.add_function(wrap_pyfunction!(differential_evolution::differential_evolution, m)?)?;
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// ===== Additional Algorithms =====
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// Optimization functions
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m.add_function(wrap_pyfunction!(
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differential_evolution::differential_evolution,
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m
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)?)?;
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m.add_function(wrap_pyfunction!(grid_search::grid_search, m)?)?;
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// Information theory functions
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m.add_function(wrap_pyfunction!(information_theory::mutual_information, m)?)?;
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m.add_function(wrap_pyfunction!(information_theory::shannon_entropy, m)?)?;
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// ===== New Optimization Algorithms =====
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// Sparse optimization functions
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m.add_function(wrap_pyfunction!(sparse_optimization::sparse_pca_py, m)?)?;
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m.add_function(wrap_pyfunction!(sparse_optimization::box_tao_decomposition_py, m)?)?;
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m.add_function(wrap_pyfunction!(
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sparse_optimization::box_tao_decomposition_py,
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m
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)?)?;
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m.add_function(wrap_pyfunction!(sparse_optimization::elastic_net_py, m)?)?;
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// Risk metrics functions
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m.add_function(wrap_pyfunction!(risk_metrics::hurst_exponent_py, m)?)?;
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m.add_function(wrap_pyfunction!(risk_metrics::compute_risk_metrics_py, m)?)?;
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m.add_function(wrap_pyfunction!(risk_metrics::estimate_half_life_py, m)?)?;
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m.add_function(wrap_pyfunction!(risk_metrics::bootstrap_returns_py, m)?)?;
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Ok(())
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}
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