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Dr.李
alpha-mind
Commits
72060909
Commit
72060909
authored
Jun 07, 2018
by
wegamekinglc
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increase accuracy requirement for ECOS solver
parent
95848c8d
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linearbuilder.py
alphamind/portfolio/linearbuilder.py
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alphamind/portfolio/linearbuilder.py
View file @
72060909
...
...
@@ -109,7 +109,7 @@ def linear_builder(er: np.ndarray,
objective
=
Minimize
(
-
w
.
T
*
er
)
prob
=
Problem
(
objective
,
constraints
)
prob
.
solve
(
solver
=
'ECOS'
)
prob
.
solve
(
solver
=
'ECOS'
,
feastol
=
1e-10
,
abstol
=
1e-10
,
reltol
=
1e-10
)
return
prob
.
status
,
prob
.
value
,
w
.
value
.
flatten
()
else
:
...
...
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