Closed bqth29 closed 11 months ago
All modified lines are covered by tests :white_check_mark:
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src/simulated_bifurcation/__init__.py | 100.00% <100.00%> (ø) |
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src/simulated_bifurcation/ising_core.py | 100.00% <100.00%> (ø) |
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src/simulated_bifurcation/models/__init__.py | 100.00% <100.00%> (ø) |
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src/simulated_bifurcation/models/markowitz.py | 100.00% <100.00%> (ø) |
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...ation/optimizer/simulated_bifurcation_optimizer.py | 100.00% <100.00%> (ø) |
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src/simulated_bifurcation/optimizer/stop_window.py | 100.00% <100.00%> (ø) |
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...ted_bifurcation/optimizer/symplectic_integrator.py | 100.00% <100.00%> (ø) |
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src/simulated_bifurcation/polynomial/__init__.py | 100.00% <100.00%> (ø) |
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...ulated_bifurcation/polynomial/binary_polynomial.py | 100.00% <100.00%> (ø) |
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...lated_bifurcation/polynomial/integer_polynomial.py | 100.00% <100.00%> (ø) |
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... and 20 more |
... and 3 files with indirect coverage changes
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PR decription
Following the discussion in #17, the Markowitz API has been enhanced with a new sequential model that allow an optimization of the portfolio relying among others on rebalancing costs which couple the timestamps together:
$$\hbox{argmax } \sum{t = 1}^{T} w{t}^{T} \mu{t} - \frac{\gamma}{2} w{t}^{T} \Sigma{t} w{t} - \Delta w_t^T \Lambda_t \Delta w_t$$
This model is implemented as the
SequentialMarkowitz
class of thesimulated_bifurcation.models
module.New features
SequentialMarkowitz
model has been added to the models pool (simulated_bifurcation.models
module)simulated_bifurcation.models
moduleMarkowitz
class