org.akutan.optimization
Class StateReturnSolver

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

public class StateReturnSolver
extends ActiveSetSolver
implements Solver


Field Summary
 
Fields inherited from class org.akutan.optimization.ActiveSetSolver
df
 
Constructor Summary
StateReturnSolver(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D sV_p)
           
 
Method Summary
protected  void initialGuess(cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, double r)
           
protected  SolvedPoint makePointF(double ra, cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D Vt)
          Calculate some sort of excess return so we get a better 'sharpe ratio' which we use to determine the optimal portfolio for investment.
 java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints, org.akutan.optimization.ProgressIndicator progress)
           
 
Methods inherited from class org.akutan.optimization.ActiveSetSolver
algorithm, dumpConstraints, formatOutput, generateConstraints, generateValues, initialGuess, make2D, makePoint, setMatrix, setMatrix, solve, solveSingle
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

StateReturnSolver

public StateReturnSolver(cern.colt.matrix.DoubleMatrix1D e_r,
                         cern.colt.matrix.DoubleMatrix2D sV_p)
Method Detail

solve

public java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints,
                                         org.akutan.optimization.ProgressIndicator progress)
Specified by:
solve in interface Solver

initialGuess

protected void initialGuess(cern.colt.matrix.DoubleMatrix1D x,
                            cern.colt.matrix.DoubleMatrix1D e_r,
                            double r)

makePointF

protected SolvedPoint makePointF(double ra,
                                 cern.colt.matrix.DoubleMatrix1D x,
                                 cern.colt.matrix.DoubleMatrix1D e_r,
                                 cern.colt.matrix.DoubleMatrix2D Vt)
Calculate some sort of excess return so we get a better 'sharpe ratio' which we use to determine the optimal portfolio for investment.