added tests for base optimizer

alphamind/data/dbmodel/models.py

@@ -1852,5 +1852,5 @@ class FactorCorrelation(Base):
 if __name__ == '__main__':
     from sqlalchemy import create_engine
 
-    engine = create_engine('mysql+mysqldb://root:we083826@localhost/alpha')
+    engine = create_engine('mysql+mysqldb://root:password@localhost/alpha')
     Base.metadata.create_all(engine)

alphamind/tests/cython/test_optimizers.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-11-1
+
+@author: cheng.li
+"""
+
+import unittest
+import numpy as np
+from alphamind.cython.optimizers import LPOptimizer
+from alphamind.cython.optimizers import QPOptimizer
+
+
+class TestOptimizers(unittest.TestCase):
+    def test_lpoptimizer(self):
+        objective = np.array([1., 2.])
+        lower_bound = np.array([0., 0.2])
+        upper_bound = np.array([1., 0.8])
+
+        optimizer = LPOptimizer(np.array([[1., 1., 1., 1.]]),
+                                lower_bound,
+                                upper_bound,
+                                objective)
+
+        self.assertAlmostEqual(optimizer.feval(), 1.2)
+        np.testing.assert_array_almost_equal(optimizer.x_value(), [0.8, 0.2])
+
+    def test_mvoptimizer(self):
+        objective = np.array([0.01, 0.02, 0.03])
+        cov = np.array([[0.02, 0.01, 0.02],
+                        [0.01, 0.02, 0.03],
+                        [0.02, 0.03, 0.02]])
+        ids_var = np.diag([0.01, 0.02, 0.03])
+        cov += ids_var
+        lbound = np.array([0., 0., 0.])
+        ubound = np.array([0.4, 0.4, 0.5])
+
+        cons = np.array([[1., 1., 1.],
+                         [1., 0., 1.]])
+        clbound = np.array([1., 0.3])
+        cubound = np.array([1., 0.7])
+
+        optimizer = QPOptimizer(objective,
+                                cov,
+                                lbound,
+                                ubound,
+                                cons,
+                                clbound,
+                                cubound)
+
+        # check against matlab result
+        np.testing.assert_array_almost_equal(optimizer.x_value(), [0.1996,
+                                                                   0.3004,
+                                                                   0.5000],
+                                             4)
+
+
+if __name__ == '__mai__':
+    unittest.main()

alphamind/tests/test_suite.py

@@ -32,6 +32,7 @@ from alphamind.tests.execution.test_naiveexecutor import TestNaiveExecutor
 from alphamind.tests.execution.test_thresholdexecutor import TestThresholdExecutor
 from alphamind.tests.execution.test_targetvolexecutor import TestTargetVolExecutor
 from alphamind.tests.execution.test_pipeline import TestExecutionPipeline
+from alphamind.tests.cython.test_optimizers import TestOptimizers
 
 
 if __name__ == '__main__':
@@ -55,6 +56,7 @@ if __name__ == '__main__':
                          TestNaiveExecutor,
                          TestThresholdExecutor,
                          TestTargetVolExecutor,
-                         TestExecutionPipeline],
+                         TestExecutionPipeline,
+                         TestOptimizers],
                         alpha_logger)
     runner.run()