added ipopt

.gitignore

@@ -8,5 +8,7 @@ Alpha_Mind.egg-info/*
 *.cpp
 *.html
 *.nbc
-*.nbi
-/notebooks/.ipynb_checkpoints
\ No newline at end of file
+*.nbi
+/notebooks/.ipynb_checkpoints
+alphamind/examples/*
+notebooks/*
\ No newline at end of file

alphamind/cython/lpoptimizer.pyx → alphamind/cython/optimizers.pyx

@@ -29,10 +29,10 @@ cdef class LPOptimizer:
                  cnp.ndarray[double] ubound,
                  cnp.ndarray[double] objective):
 
-        self.cobj = new LpOptimizer(cons_matrix.flatten().copy(),
-                                    lbound.copy(),
-                                    ubound.copy(),
-                                    objective.copy())
+        self.cobj = new LpOptimizer(cons_matrix.flatten(),
+                                    lbound,
+                                    ubound,
+                                    objective)
 
     def __del__(self):
         del self.cobj
@@ -43,5 +43,35 @@ cdef class LPOptimizer:
     def feval(self):
         return self.cobj.feval()
 
+    def x_value(self):
+        return np.array(self.cobj.xValue())
+
+
+cdef extern from "meanvariance.hpp" namespace "pfopt":
+    cdef cppclass MeanVariance:
+        MeanVariance(vector[double], vector[double], double) except +
+        vector[double] xValue()
+        double feval()
+
+
+cdef class MVOptimizer:
+
+    cdef MeanVariance* cobj
+
+    def __init__(self,
+                 cnp.ndarray[double] expected_return,
+                 cnp.ndarray[double, ndim=2] cov_matrix,
+                 double risk_aversion):
+
+        self.cobj = new MeanVariance(expected_return,
+                                     cov_matrix.flatten(),
+                                     risk_aversion)
+
+    def __del__(self):
+        del self.cobj
+
+    def feval(self):
+        return self.cobj.feval()
+
     def x_value(self):
         return np.array(self.cobj.xValue())
\ No newline at end of file

alphamind/portfolio/linearbuilder.py

@@ -8,7 +8,7 @@ Created on 2017-5-5
 import numpy as np
 from typing import Tuple
 from typing import Union
-from alphamind.cython.lpoptimizer import LPOptimizer
+from alphamind.cython.optimizers import LPOptimizer
 
 
 def linear_build(er: np.ndarray,

setup.py

@@ -24,8 +24,8 @@ else:
 
 if platform.system() != "Windows":
     extensions = [
-        Extension('alphamind.cython.lpoptimizer',
-                  ['alphamind/cython/lpoptimizer.pyx'],
+        Extension('alphamind.cython.optimizers',
+                  ['alphamind/cython/optimizers.pyx'],
                   include_dirs=["./libs/include/clp",
                                 "./libs/include/ipopt",
                                 "./libs/include/pfopt",
@@ -36,8 +36,8 @@ if platform.system() != "Windows":
         ]
 else:
     extensions = [
-        Extension('alphamind.cython.lpoptimizer',
-                  ['alphamind/cython/lpoptimizer.pyx'],
+        Extension('alphamind.cython.optimizers',
+                  ['alphamind/cython/optimizers.pyx'],
                   include_dirs=["./libs/include/clp",
                                 "./libs/include/ipopt",
                                 "./libs/include/pfopt",