Class TurnoverAwareOptimizer.Result

java.lang.Object
com.quantfinlib.alpha.TurnoverAwareOptimizer.Result
Enclosing class:
TurnoverAwareOptimizer
public static final class TurnoverAwareOptimizer.Result extends Object

  • Constructor Details

    • Result

      public Result(double[] weights, double turnover, double objective, double equalityResidual, int iterations, boolean converged)
      Creates the value; array and collection arguments are copied.
      Parameters:
      weights - optimal book
      turnover - ½‖w − w₀‖₁
      objective - αᵀw − λwᵀΣw − κ‖w − w₀‖₁
      equalityResidual - max_k |(A w)_k|

  • Method Details

    • weights

      public double weights(int i)
      Element i of weights (optimal book).

    • weightsLength

      public int weightsLength()
      Length of weights.

    • weightsCopy

      public double[] weightsCopy()
      A fresh copy of weights.

    • turnover

      public double turnover()
      turnover.

    • objective

      public double objective()
      objective.

    • equalityResidual

      public double equalityResidual()
      equalityResidual.

    • iterations

      public int iterations()
      iterations.

    • converged

      public boolean converged()
      converged.

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object