Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Rescale allocation layer #102

Open
jankrepl opened this issue Dec 4, 2020 · 1 comment
Open

Rescale allocation layer #102

jankrepl opened this issue Dec 4, 2020 · 1 comment
Labels
enhancement New feature or request

Comments

@jankrepl
Copy link
Owner

jankrepl commented Dec 4, 2020

Numerical allocation layers (e.g. NumericalMarkowitz) might generate weights that do not satisfy the constraints. There are the following reasons for it

  • small floating point differences (e.g. w_i=-1e-8 with w>=0 constraint)
  • algorithm did not converge and the underlying solver did not raise any exception

It can become an issue when using a loss that is not defined for certain values of w.

The cleanest solution would be to have a new allocation layer that would be called after the original allocation layer. Ideally,
it would do the following

  • Perform checks and potentially raise exception
  • Rescale weights to satisfy the original constraints
@jankrepl
Copy link
Owner Author

jankrepl commented Dec 7, 2020

Related to #41

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
enhancement New feature or request
Projects
None yet
Development

No branches or pull requests

1 participant