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
This commit is contained in:
Melvin Avarez
2025-12-10 18:54:32 +01:00
parent 12565cad44
commit 79f51e4775
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//! Optimal Control Module
//! ======================
//!
//! Generic optimal control algorithms for dynamical systems.
//!
//! # Features
//!
//! - Generic HJB PDE solver with finite differences
//! - Viscosity solutions for non-smooth value functions
//! - Upwind schemes for numerical stability
//! - Parallel processing support
//!
//! # Mathematical Foundation
//!
//! ## Hamilton-Jacobi-Bellman Equation
//!
//! For a general stochastic process dX_t = μ(X_t)dt + σ(X_t)dW_t,
//! the HJB equation is:
//!
//! ρV(x) = sup_u [μ(x,u)V'(x) + (σ²(x,u)/2)V''(x) + L(x,u)]
//!
//! where:
//! - V(x) is the value function
//! - ρ is the discount rate
//! - u is the control
//! - L(x,u) is the running cost
//!
//! ## Viscosity Solutions
//!
//! Handle non-smooth value functions via:
//! 1. Finite difference discretization
//! 2. Upwind schemes for stability
//! 3. Iterative convergence to viscosity solution
pub mod hjb_solver;
pub mod jump_diffusion;
pub mod mrsjd;
pub mod regime_switching;
pub mod viscosity;
pub use hjb_solver::{HJBConfig, HJBResult, HJBSolver};
pub use jump_diffusion::{
JumpDiffusionConfig, JumpDiffusionResult, JumpDiffusionSolver, JumpDistribution,
};
pub use mrsjd::{MRSJDConfig, MRSJDResult, MRSJDSolver, RegimeJumpParameters};
pub use regime_switching::{
RegimeParameters, RegimeSwitchingConfig, RegimeSwitchingResult, RegimeSwitchingSolver,
};
pub use viscosity::{ViscosityConfig, ViscositySolver};
use thiserror::Error;
#[derive(Error, Debug)]
pub enum OptimalControlError {
#[error("Numerical error: {0}")]
NumericalError(String),
#[error("Convergence failed: {0}")]
ConvergenceError(String),
#[error("Invalid parameters: {0}")]
InvalidParameters(String),
#[error("Insufficient data: need at least {0} points")]
InsufficientData(usize),
#[error("Matrix computation error: {0}")]
MatrixError(String),
}
pub type Result<T> = std::result::Result<T, OptimalControlError>;