org.akutan.optimization
Class SphericalShrinkageSolver

java.lang.Object
  extended by org.akutan.optimization.ActiveSetSolver
      extended by org.akutan.optimization.ReturnSolver
          extended by org.akutan.optimization.SphericalShrinkageSolver
All Implemented Interfaces:
Solver

public class SphericalShrinkageSolver
extends ReturnSolver
implements Solver

This class encapsulates an example of solving for the optimal portfolio using the Spherical Shrinkage, taken from Meucci, Chapter 4.

Since:
25 July 2007

Field Summary
protected  java.text.DecimalFormat df
           
protected  cern.colt.matrix.DoubleMatrix1D orig_Er
           
protected  cern.colt.matrix.DoubleMatrix2D orig_V
           
protected  java.util.List<EfficientFrontier.SampleData> samplePoints
           
 
Constructor Summary
SphericalShrinkageSolver(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V_p, java.util.List<EfficientFrontier.SampleData> samplePoints)
          Constructs
 
Method Summary
protected  java.lang.String formatOutput(int ct, double ra, cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V)
          Override method in ActiveSet so that we can use the un-shrunk E(r) and V
protected  SolvedPoint makePoint(double ra, cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V)
          Override method in ActiveSet so that we can use the un-shrunk E(r) and V
protected  void shrink()
          Implements the spherical shrinkage algorithm from Meucci, Section 6.7.2, p.
 
Methods inherited from class org.akutan.optimization.ReturnSolver
cleanConstraints, initialGuess, solve, solveForReturn
 
Methods inherited from class org.akutan.optimization.ActiveSetSolver
algorithm, dumpConstraints, generateConstraints, generateValues, initialGuess, make2D, setMatrix, setMatrix, solve, solveSingle
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 
Methods inherited from interface org.akutan.optimization.Solver
solve
 

Field Detail

df

protected final java.text.DecimalFormat df

orig_Er

protected cern.colt.matrix.DoubleMatrix1D orig_Er

orig_V

protected cern.colt.matrix.DoubleMatrix2D orig_V

samplePoints

protected java.util.List<EfficientFrontier.SampleData> samplePoints
Constructor Detail

SphericalShrinkageSolver

public SphericalShrinkageSolver(cern.colt.matrix.DoubleMatrix1D e_r,
                                cern.colt.matrix.DoubleMatrix2D V_p,
                                java.util.List<EfficientFrontier.SampleData> samplePoints)
Constructs

Method Detail

shrink

protected void shrink()
Implements the spherical shrinkage algorithm from Meucci, Section 6.7.2, p. 356


makePoint

protected SolvedPoint makePoint(double ra,
                                cern.colt.matrix.DoubleMatrix1D x,
                                cern.colt.matrix.DoubleMatrix1D e_r,
                                cern.colt.matrix.DoubleMatrix2D V)
Override method in ActiveSet so that we can use the un-shrunk E(r) and V

Overrides:
makePoint in class ActiveSetSolver

formatOutput

protected java.lang.String formatOutput(int ct,
                                        double ra,
                                        cern.colt.matrix.DoubleMatrix1D x,
                                        cern.colt.matrix.DoubleMatrix1D e_r,
                                        cern.colt.matrix.DoubleMatrix2D V)
Override method in ActiveSet so that we can use the un-shrunk E(r) and V

Overrides:
formatOutput in class ActiveSetSolver