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Resolve https://github.com/microsoft/qlib/pull/280\#discussion_r589169489

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Charles Young
2021-03-08 19:07:28 +08:00
parent 2f9af1af8f
commit 7022675d00
2 changed files with 31 additions and 34 deletions
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6
qlib/portfolio/optimizer/enhanced_indexing.py
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@@ -56,11 +56,7 @@ class EnhancedIndexingOptimizer(BaseOptimizer):
assert inds_dev is None or inds_dev >= 0, "industry deviation limit `inds_dev` should be positive or None." assert inds_dev is None or inds_dev >= 0, "industry deviation limit `inds_dev` should be positive or None."
self.inds_dev = inds_dev self.inds_dev = inds_dev
assert warm_start in [ assert warm_start in [None, self.START_FROM_W0, self.START_FROM_BENCH,], "illegal warm start option"
None,
self.START_FROM_W0,
self.START_FROM_BENCH,
], "illegal warm start option"
self.start_from_w0 = warm_start == self.START_FROM_W0 self.start_from_w0 = warm_start == self.START_FROM_W0
self.start_from_bench = warm_start == self.START_FROM_BENCH self.start_from_bench = warm_start == self.START_FROM_BENCH

1
qlib/portfolio/optimizer/optimizer.py
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@@ -251,6 +251,7 @@ class PortfolioOptimizer(BaseOptimizer):
# add l2 regularization # add l2 regularization
wrapped_obj = obj wrapped_obj = obj
if self.alpha > 0: if self.alpha > 0:
def opt_obj(x): def opt_obj(x):
return obj(x) + self.alpha * np.sum(np.square(x)) return obj(x) + self.alpha * np.sum(np.square(x))