ThotDjehuty
24556f51d7
- Restore correct PyPI distribution name 'optimiz-rs' (continuity with v1.0.x).
Rust crate stays 'optimiz-rs'; Python module is 'optimizr'.
- python/optimizr/__init__.py:
* Bump __version__ from stale '0.2.0' to '2.0.0'.
* Eagerly bind every v2 primitive from _core (so dir(optimizr), IDE
auto-complete and 'from optimizr import X' all work without relying on
the lazy __getattr__ fallback).
* Extend __all__ with 38 new v2 entries.
- README.md: full v2 features section grouped by domain (rough volatility,
BSDE/PDE, stochastic control, mean-field, topology/graphs/signatures,
risk/robust inference, point processes, Kalman). Embedded
examples/mckean_vlasov.gif at the top. Added v2 benchmark table.
- examples/benchmark_v2.py: honest benchmark vs pure-Python/NumPy
references on intrinsically loopy workloads. Best-of-3, single-thread,
Apple M2: HMM 67.7x, DE 13.9x, signatures 11.2x, Hawkes 3.3x, MCMC 1.7x.
- examples/animate_mckean_vlasov.py + examples/mckean_vlasov.gif (5MB):
cinematic 800-particle mean-reverting McKean-Vlasov flow animation
using optimizr.mean_reverting_mckean_vlasov.
- tests/test_v2_api.py already in place: 20/20 pass.
234 lines
6.2 KiB
Python
234 lines
6.2 KiB
Python
"""
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OptimizR - High-Performance Optimization Algorithms
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===================================================
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Fast, reliable implementations of advanced optimization and statistical
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inference algorithms with Rust acceleration and pure Python fallbacks.
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.. moduleauthor:: OptimizR Contributors
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"""
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from optimizr.hmm import HMM
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from optimizr.core import (
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mcmc_sample,
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differential_evolution,
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parallel_differential_evolution_rust,
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grid_search,
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mutual_information,
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shannon_entropy,
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sparse_pca_py,
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box_tao_decomposition_py,
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elastic_net_py,
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hurst_exponent_py,
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compute_risk_metrics_py,
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estimate_half_life_py,
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bootstrap_returns_py,
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# Time-series utilities
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prepare_for_hmm_py,
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rolling_hurst_exponent_py,
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rolling_half_life_py,
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return_statistics_py,
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create_lagged_features_py,
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rolling_correlation_py,
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# Benchmark functions
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Sphere,
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Rosenbrock,
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Rastrigin,
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Ackley,
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Griewank,
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)
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# Try to import maths_toolkit and mean_field from Rust backend
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try:
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from optimizr import _core
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maths_toolkit = _core
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MFGConfig = _core.MFGConfigPy
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solve_mfg_1d_rust = _core.solve_mfg_1d_rust
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except (ImportError, AttributeError):
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maths_toolkit = None
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MFGConfig = None
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solve_mfg_1d_rust = None
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# Portfolio Optimization (CARA, Mean-Variance, ERC)
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try:
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from optimizr._core import (
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cara_optimal_weights,
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mean_variance_optimal_weights,
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min_variance_weights,
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erc_weights,
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)
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except (ImportError, AttributeError):
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cara_optimal_weights = None
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mean_variance_optimal_weights = None
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min_variance_weights = None
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erc_weights = None
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# ===== v2.0 primitives (lazy via __getattr__, but eagerly bound when possible) =====
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try:
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from optimizr._core import (
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# Volterra / fractional
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solve_fractional_ode,
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solve_volterra,
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geometric_grid_lift,
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fourier_invert,
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mittag_leffler_py,
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# BSDE
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linear_bsde_constant_coeffs,
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# Mean-field / agent-based
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mean_reverting_mckean_vlasov,
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consensus_dynamics,
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# Risk measures
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historical_var_py,
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parametric_var_py,
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cvar_value_py,
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minimize_cvar_py,
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# PDE
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fokker_planck_constant,
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hjb_quadratic_2d,
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poisson_2d_zero_boundary,
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# Stochastic control
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optimal_switching_dp,
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pontryagin_lqr,
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two_sided_intensities,
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quadratic_impact_control_py,
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# Topology
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vietoris_rips_filtration,
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persistent_homology,
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bottleneck_distance,
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# Graph
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combinatorial_laplacian_py,
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normalised_laplacian_py,
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random_walk_laplacian_py,
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spectral_cluster_py,
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# Signatures
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path_signature,
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path_log_signature,
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random_signature,
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signature_kernel,
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shuffle_product,
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concatenate_signatures,
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# Inference / optimisation
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robust_drift,
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estimate_hurst,
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scale_dependent_hurst,
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f_alpha_lambda_py,
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mmd_gaussian,
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# Point processes
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simulate_hawkes,
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simulate_bivariate_hawkes,
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simulate_fbm,
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simulate_mixed_fbm,
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# Kalman / smoothing
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LinearKalmanFilter,
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UnscentedKalmanFilter,
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RTSSmoother,
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FilterResult,
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SmootherResult,
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KalmanState,
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)
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except (ImportError, AttributeError):
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pass
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__version__ = "2.0.0"
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__all__ = [
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"HMM",
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"mcmc_sample",
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"differential_evolution",
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"parallel_differential_evolution_rust",
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"grid_search",
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"mutual_information",
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"shannon_entropy",
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"sparse_pca_py",
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"box_tao_decomposition_py",
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"elastic_net_py",
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"hurst_exponent_py",
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"compute_risk_metrics_py",
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"estimate_half_life_py",
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"bootstrap_returns_py",
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# Time-series utilities
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"prepare_for_hmm_py",
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"rolling_hurst_exponent_py",
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"rolling_half_life_py",
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"return_statistics_py",
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"create_lagged_features_py",
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"rolling_correlation_py",
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# Benchmark functions
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"Sphere",
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"Rosenbrock",
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"Rastrigin",
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"Ackley",
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"Griewank",
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"maths_toolkit",
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# Mean Field Games
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"MFGConfig",
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"solve_mfg_1d_rust",
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# Portfolio Optimization
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"cara_optimal_weights",
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"mean_variance_optimal_weights",
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"min_variance_weights",
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"erc_weights",
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# ===== v2.0 primitives =====
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"solve_fractional_ode",
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"solve_volterra",
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"geometric_grid_lift",
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"fourier_invert",
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"mittag_leffler_py",
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"linear_bsde_constant_coeffs",
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"mean_reverting_mckean_vlasov",
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"consensus_dynamics",
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"historical_var_py",
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"parametric_var_py",
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"cvar_value_py",
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"minimize_cvar_py",
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"fokker_planck_constant",
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"hjb_quadratic_2d",
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"poisson_2d_zero_boundary",
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"optimal_switching_dp",
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"pontryagin_lqr",
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"two_sided_intensities",
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"quadratic_impact_control_py",
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"vietoris_rips_filtration",
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"persistent_homology",
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"bottleneck_distance",
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"combinatorial_laplacian_py",
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"normalised_laplacian_py",
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"random_walk_laplacian_py",
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"spectral_cluster_py",
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"path_signature",
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"path_log_signature",
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"random_signature",
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"signature_kernel",
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"shuffle_product",
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"concatenate_signatures",
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"robust_drift",
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"estimate_hurst",
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"scale_dependent_hurst",
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"f_alpha_lambda_py",
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"mmd_gaussian",
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"simulate_hawkes",
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"simulate_bivariate_hawkes",
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"simulate_fbm",
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"simulate_mixed_fbm",
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"LinearKalmanFilter",
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"UnscentedKalmanFilter",
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"RTSSmoother",
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]
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def __getattr__(name):
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"""Transparent fallback: forward any unresolved top-level attribute access
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to the compiled `_core` extension. This keeps `from optimizr import X`
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working for every Rust-backed function (v1.x and v2.0 primitives) without
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having to enumerate the full list above."""
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try:
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from optimizr import _core as _ext
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except ImportError as exc: # pragma: no cover
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raise AttributeError(
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f"module 'optimizr' has no attribute {name!r} "
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f"(_core extension is not built: {exc})"
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) from exc
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if hasattr(_ext, name):
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return getattr(_ext, name)
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raise AttributeError(f"module 'optimizr' has no attribute {name!r}")
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