ThotDjehuty
e67b0f8376
New Rust portfolio_optimization module with PyO3 bindings: - CARA/CRRA utility maximization via projected gradient descent - General-purpose convex objective solver on simplex (ProjectedGradientSolver) - Mean-variance optimization (max Sharpe, target return, min variance) - Equal Risk Contribution (ERC) portfolio allocation - Python bindings: cara_optimal_weights, mean_variance_optimal_weights, min_variance_weights, erc_weights - 6/6 unit tests passing Convergence fix: removed gradient-norm criterion on simplex boundary (projected gradient never vanishes at constrained optimum). Default learning rate increased from 0.005 to 0.1.
106 lines
2.5 KiB
Python
106 lines
2.5 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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__version__ = "0.2.0"
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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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]
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