update to use interior method with mumps

alphamind/tests/portfolio/test_linearbuild.py

@@ -37,6 +37,25 @@ class TestLinearBuild(unittest.TestCase):
         expected_risk = np.zeros(self.risk_exp.shape[1])
         np.testing.assert_array_almost_equal(calc_risk, expected_risk)
 
+    def test_linear_build_with_interior(self):
+        bm = self.bm / self.bm.sum()
+        eplson = 1e-6
+
+        status, _, w = linear_builder(self.er,
+                                      0.,
+                                      0.01,
+                                      self.risk_exp,
+                                      (bm @ self.risk_exp, bm @ self.risk_exp),
+                                      method='interior')
+        self.assertEqual(status, 'optimal')
+        self.assertAlmostEqual(np.sum(w), 1.)
+        self.assertTrue(np.all(w <= 0.01 + eplson))
+        self.assertTrue(np.all(w >= -eplson))
+
+        calc_risk = (w - bm) @ self.risk_exp
+        expected_risk = np.zeros(self.risk_exp.shape[1])
+        np.testing.assert_array_almost_equal(calc_risk, expected_risk)
+
     def test_linear_build_with_inequality_constraints(self):
         bm = self.bm / self.bm.sum()
         eplson = 1e-6

setup.py

@@ -51,7 +51,16 @@ else:
                                 "alphamind/pfopt/include/pfopt",
                                 "alphamind/pfopt/include/eigen",
                                 "alphamind/pfopt/include/alglib"],
-                  libraries=['pfopt', 'alglib', 'libClp', 'libCoinUtils', 'libipopt', 'libcoinhsl', 'libcoinblas', 'libcoinlapack', 'libcoinmetis'],
+                  libraries=['pfopt',
+                             'alglib',
+                             'libClp',
+                             'libCoinUtils',
+                             'libipopt',
+                             'libcoinhsl',
+                             'libcoinblas',
+                             'libcoinlapack',
+                             'libcoinmetis',
+                             'libcoinmumps'],
                   library_dirs=['alphamind/pfopt/lib'],
                   extra_compile_args=['/MD']),
     ]