update to new interface

alphamind/cython/optimizers.pyx

@@ -13,7 +13,7 @@ from libcpp.vector cimport vector
 
 cdef extern from "lpoptimizer.hpp" namespace "pfopt":
     cdef cppclass LpOptimizer:
-        LpOptimizer(vector[double], vector[double], vector[double], vector[double]) except +
+        LpOptimizer(int, int, double*, double*, double*, double*) except +
         vector[double] xValue()
         double feval()
         int status()
@@ -25,14 +25,19 @@ cdef class LPOptimizer:
 
     def __init__(self,
                  cnp.ndarray[double, ndim=2] cons_matrix,
-                 cnp.ndarray[double] lbound,
-                 cnp.ndarray[double] ubound,
-                 cnp.ndarray[double] objective):
-
-        self.cobj = new LpOptimizer(cons_matrix.flatten(order='C'),
-                                    lbound,
-                                    ubound,
-                                    objective)
+                 double[:] lbound,
+                 double[:] ubound,
+                 double[:] objective):
+        cdef int n = lbound.shape[0]
+        cdef int m = cons_matrix.shape[0]
+        cdef double[:] cons = cons_matrix.flatten(order='C');
+
+        self.cobj = new LpOptimizer(n,
+                                    m,
+                                    &cons[0],
+                                    &lbound[0],
+                                    &ubound[0],
+                                    &objective[0])
 
     def __del__(self):
         del self.cobj
@@ -49,13 +54,15 @@ cdef class LPOptimizer:
 
 cdef extern from "mvoptimizer.hpp" namespace "pfopt":
     cdef cppclass MVOptimizer:
-        MVOptimizer(vector[double],
-                    vector[double],
-                    vector[double],
-                    vector[double],
-                    vector[double],
-                    vector[double],
-                    vector[double],
+        MVOptimizer(int,
+                    double*,
+                    double*,
+                    double*,
+                    double*,
+                    int,
+                    double*,
+                    double*,
+                    double*,
                     double) except +
         vector[double] xValue()
         double feval()
@@ -67,22 +74,29 @@ cdef class QPOptimizer:
     cdef MVOptimizer* cobj
 
     def __init__(self,
-                 cnp.ndarray[double] expected_return,
+                 double[:] expected_return,
                  cnp.ndarray[double, ndim=2] cov_matrix,
-                 cnp.ndarray[double] lbound,
-                 cnp.ndarray[double] ubound,
+                 double[:] lbound,
+                 double[:] ubound,
                  cnp.ndarray[double, ndim=2] cons_matrix,
-                 cnp.ndarray[double] clbound,
-                 cnp.ndarray[double] cubound,
+                 double[:] clbound,
+                 double[:] cubound,
                  double risk_aversion=1.0):
 
-        self.cobj = new MVOptimizer(expected_return,
-                                    cov_matrix.flatten(order='C'),
-                                    lbound,
-                                    ubound,
-                                    cons_matrix.flatten(order='C'),
-                                    clbound,
-                                    cubound,
+        cdef int n = lbound.shape[0]
+        cdef int m = cons_matrix.shape[0]
+        cdef double[:] cov = cov_matrix.flatten(order='C')
+        cdef double[:] cons = cons_matrix.flatten(order='C');
+
+        self.cobj = new MVOptimizer(n,
+                                    &expected_return[0],
+                                    &cov[0],
+                                    &lbound[0],
+                                    &ubound[0],
+                                    m,
+                                    &cons[0],
+                                    &clbound[0],
+                                    &cubound[0],
                                     risk_aversion)
 
     def __del__(self):

libs/include/pfopt/lpoptimizer.hpp

@@ -7,12 +7,14 @@
 
 namespace pfopt {
 
-    class PFOPT_CLASS LpOptimizer {
+    class LpOptimizer {
     public:
-        LpOptimizer(const std::vector<double>& constraintsMatraix,
-            const std::vector<double>& lowerBound,
-            const std::vector<double>& upperBound,
-            const std::vector<double>& objective);
+        LpOptimizer(int numVariables,
+                    int numCons,
+                    double* constraintMatrix,
+                    double* lowerBound,
+                    double* upperBound,
+                    double* objective);
 
         std::vector<double> xValue() const;
         double feval() const;
@@ -20,7 +22,7 @@ namespace pfopt {
 
     private:
         ClpSimplex model_;
-        int numberOfProb_;
+        size_t numberOfProb_;
     };
 }
 

libs/include/pfopt/meanvariance.hpp

@@ -14,15 +14,16 @@ using Ipopt::IpoptCalculatedQuantities;
 
 namespace pfopt {
 
-	class PFOPT_CLASS MeanVariance : public TNLP {
+	class MeanVariance : public TNLP {
 
     public:
-        MeanVariance(const std::vector<double> &expectReturn,
-                     const std::vector<double> &varMatrix,
+        MeanVariance(int numAssets,
+                     double* expectReturn,
+                     double* varMatrix,
                      double riskAversion=1.);
 
-        bool setBoundedConstraint(const std::vector<double>& lb, const std::vector<double>& ub);
-        bool setLinearConstrains(const std::vector<double>& consMatrix, const std::vector<double>& clb, const std::vector<double>& cub);
+        bool setBoundedConstraint(const double* lb, const double* ub);
+        bool setLinearConstrains(int numCons, const double* consMatrix, const double* clb, const double* cub);
 
         virtual bool get_nlp_info(Index &n, Index &m, Index &nnz_jac_g,
                                   Index &nnz_h_lag, IndexStyleEnum &index_style);
@@ -58,22 +59,20 @@ namespace pfopt {
     private:
         VectorXd expectReturn_;
         MatrixXd varMatrix_;
-        int numOfAssets_;
+        const int numOfAssets_;
         VectorXd xReal_;
-        double riskAversion_;
+        const double riskAversion_;
 
-        std::vector<double> lb_;
-        std::vector<double> ub_;
+        const double* lb_;
+        const double* ub_;
         VectorXd grad_f_;
         double feval_;
         std::vector<double> x_;
         std::vector<Index> iRow_;
         std::vector<Index> jCol_;
         std::vector<double> g_grad_values_;
-
-        std::vector<double> consMatrix_;
-        std::vector<double> clb_;
-        std::vector<double> cub_;
+        const double* clb_;
+        const double* cub_;
         Index m_;
     };
 }

libs/include/pfopt/mvoptimizer.hpp

@@ -5,19 +5,23 @@
 #include <coin/IpIpoptApplication.hpp>
 
 namespace pfopt {
-    class PFOPT_CLASS MVOptimizer {
+    class MVOptimizer {
     public:
-        MVOptimizer(const std::vector<double> &expectReturn,
-            const std::vector<double> &varMatrix,
-            const std::vector<double> &lbound,
-            const std::vector<double> &ubound,
-            const std::vector<double> &consMatrix = std::vector<double>(),
-            const std::vector<double> &clb = std::vector<double>(),
-            const std::vector<double> &cub = std::vector<double>(),
+        MVOptimizer(int numAssets,
+                    double *expectReturn,
+                    double *varMatrix,
+                    double *lbound,
+                    double *ubound,
+                    int numConstraints,
+                    double *consMatrix = nullptr,
+                    double *clb = nullptr,
+                    double *cub = nullptr,
                     double riskAversion = 1.);
 
         std::vector<double> xValue() const { return mvImpl_->xValue(); }
+
         double feval() const { return mvImpl_->feval(); }
+
         int status() const { return status_; }
 
     private:

libs/include/pfopt/qpalglib.hpp

@@ -8,7 +8,7 @@ using namespace alglib;
 
 namespace pfopt {
 
-    class PFOPT_CLASS AlglibData {
+    class AlglibData {
     public:
         AlglibData(const std::vector<double> &expectReturn,
                    const std::vector<double> &varMatrix,

libs/include/pfopt/types.hpp

@@ -10,40 +10,4 @@ using Eigen::Map;
 using alglib::real_1d_array;
 using alglib::real_2d_array;
 
-
-#ifdef  WIN32 
-#ifdef __cplusplus 
-#define DLL_EXPORT_C_DECL extern "C" __declspec(dllexport) 
-#define DLL_IMPORT_C_DECL extern "C" __declspec(dllimport) 
-#define DLL_EXPORT_DECL extern __declspec(dllexport) 
-#define DLL_IMPORT_DECL extern __declspec(dllimport) 
-#define DLL_EXPORT_CLASS_DECL __declspec(dllexport) 
-#define DLL_IMPORT_CLASS_DECL __declspec(dllimport) 
-#else 
-#define DLL_EXPORT_DECL __declspec(dllexport) 
-#define DLL_IMPORT_DECL __declspec(dllimport) 
-#endif 
-#else 
-#ifdef __cplusplus 
-#define DLL_EXPORT_C_DECL extern "C" 
-#define DLL_IMPORT_C_DECL extern "C" 
-#define DLL_EXPORT_DECL extern 
-#define DLL_IMPORT_DECL extern 
-#define DLL_EXPORT_CLASS_DECL 
-#define DLL_IMPORT_CLASS_DECL 
-#else 
-#define DLL_EXPORT_DECL extern 
-#define DLL_IMPORT_DECL extern 
-#endif 
-#endif
-
-#ifdef PFOPF_EXPORTS 
-#define PFOPT_CLASS DLL_EXPORT_CLASS_DECL 
-#define PFOPT_API DLL_EXPORT_DECL 
-#else 
-#define PFOPT_CLASS DLL_IMPORT_CLASS_DECL 
-#define PFOPT_API DLL_IMPORT_DECL 
-#endif 
-
-
 #endif

libs/include/pfopt/utilities.hpp

@@ -6,12 +6,12 @@
 namespace pfopt {
 
     namespace io {
-		PFOPT_API std::vector<double> read_csv(const std::string &filePath);
+        std::vector<double> read_csv(const std::string &filePath);
     }
 
-	PFOPT_API double min(const real_1d_array& array, int n = 0);
-	PFOPT_API double max(const real_1d_array& array, int n = 0);
-	PFOPT_API double sum(const real_1d_array& array, int n = 0);
+    double min(const real_1d_array& array, int n = 0);
+    double max(const real_1d_array& array, int n = 0);
+    double sum(const real_1d_array& array, int n = 0);
 
     bool is_close(double a, double b, double tol=1e-9);
 }

setup.py

@@ -32,7 +32,8 @@ if platform.system() != "Windows":
                                 "./libs/include/eigen",
                                 "./libs/include/alglib"],
                   libraries=['pfopt'],
-                  library_dirs=['./libs/lib/linux']),
+                  library_dirs=['./libs/lib/linux'],
+                  extra_compile_args=['-std=c++11']),
         ]
 else:
     extensions = [