rearranging stuff

cvxgrp · Jun 21, 2023 · f8707c5 · f8707c5
1 parent 498250a
commit f8707c5
Show file tree

Hide file tree

Showing 21 changed files with 76 additions and 109 deletions.
diff --git a/.gitignore b/.gitignore
@@ -1,5 +1,7 @@
 .idea
 
+.DS_Store
+
 # Byte-compiled / optimized / DLL files
 __pycache__/
 *.py[cod]

diff --git a/book/docs/notebooks/demo.ipynb b/book/docs/notebooks/demo.ipynb
diff --git a/book/docs/notebooks/factormodel.ipynb b/book/docs/notebooks/factormodel.ipynb
@@ -35,14 +35,18 @@
     "import numpy as np\n",
     "import cvxpy as cvx\n",
     "\n",
-    "from cvx.risk.linalg import pca\n",
+    "from cvx.linalg import pca\n",
     "from cvx.risk.factor import FactorModel"
    ]
   },
   {
    "cell_type": "markdown",
-   "id": "72f447e8-635d-4ff0-b4ec-d2c856078ccd",
+   "id": "7a6b8122",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%% md\n"
     }
@@ -53,9 +57,13 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 2,
-   "id": "feafbc51-f23e-4435-ae09-7d207fcd7136",
+   "execution_count": null,
+   "id": "a22b009a",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%%\n"
     }
@@ -68,8 +76,12 @@
   },
   {
    "cell_type": "markdown",
-   "id": "093b0aed-c5ca-4d1e-8259-70224c64bb35",
+   "id": "00c84f55",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%% md\n"
     }
@@ -80,13 +92,16 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 3,
-   "id": "f9e3e0a1-d16d-4976-81ed-4ec3815cb5ee",
+   "execution_count": null,
+   "id": "54e6f9d1",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%%\n"
-    },
-    "tags": []
+    }
    },
    "outputs": [],
    "source": [
@@ -95,8 +110,12 @@
   },
   {
    "cell_type": "markdown",
-   "id": "0d3c82c4-beed-4e76-b7c8-4e005afe1abc",
+   "id": "8e79d788",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%% md\n"
     }
@@ -107,25 +126,18 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 5,
-   "id": "9f2c55ae-3a66-4791-a1f0-8acaa1b37623",
+   "execution_count": null,
+   "id": "bc5e8afd",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%%\n"
     }
    },
-   "outputs": [
-    {
-     "data": {
-      "text/plain": [
-       "0.00923407730537884"
-      ]
-     },
-     "execution_count": 5,
-     "metadata": {},
-     "output_type": "execute_result"
-    }
-   ],
+   "outputs": [],
    "source": [
     "model = FactorModel(assets=len(returns.columns), k=10)\n",
     "\n",
@@ -139,8 +151,12 @@
   },
   {
    "cell_type": "markdown",
-   "id": "c1bebdb0-7197-4823-8530-e4da3a03f91f",
+   "id": "85da2abd",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%% md\n"
     }
@@ -151,43 +167,18 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 8,
-   "id": "2dd75849-e600-4f26-bbac-e63d06eb1335",
+   "execution_count": null,
+   "id": "7e17daf0",
    "metadata": {
+    "collapsed": false,
+    "jupyter": {
+     "outputs_hidden": false
+    },
     "pycharm": {
      "name": "#%%\n"
     }
    },
-   "outputs": [
-    {
-     "name": "stdout",
-     "output_type": "stream",
-     "text": [
-      "GOOG    0.000841\n",
-      "AAPL    0.000463\n",
-      "FB      0.000462\n",
-      "BABA    0.003246\n",
-      "AMZN    0.000594\n",
-      "GE      0.003120\n",
-      "AMD     0.143065\n",
-      "WMT     0.001252\n",
-      "BAC     0.001290\n",
-      "GM      0.000356\n",
-      "T       0.000359\n",
-      "UAA     0.186590\n",
-      "SHLD    0.534772\n",
-      "XOM     0.000519\n",
-      "RRC     0.036929\n",
-      "BBY     0.082946\n",
-      "MA      0.000675\n",
-      "PFE     0.000576\n",
-      "JPM     0.001600\n",
-      "SBUX    0.000344\n",
-      "dtype: float64\n",
-      "0.000170523449914986\n"
-     ]
-    }
-   ],
+   "outputs": [],
    "source": [
     "w = cvx.Variable(20)\n",
     "y = cvx.Variable(10)\n",
@@ -205,14 +196,6 @@
     "assert np.isclose(w.value.sum(), 1.0)\n",
     "assert np.all(w.value > -0.01)"
    ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "id": "f9097c1b-e07c-4049-b57e-16a26c311c4d",
-   "metadata": {},
-   "outputs": [],
-   "source": []
   }
  ],
  "metadata": {

diff --git a/book/docs/notebooks/large.ipynb b/book/docs/notebooks/large.ipynb
@@ -115,7 +115,7 @@
   {
    "cell_type": "code",
    "execution_count": 6,
-   "id": "327acf27",
+   "id": "8321b700",
    "metadata": {
     "collapsed": false,
     "jupyter": {
@@ -142,7 +142,7 @@
   {
    "cell_type": "code",
    "execution_count": 7,
-   "id": "048557ff",
+   "id": "0fbd6deb",
    "metadata": {
     "collapsed": false,
     "jupyter": {
@@ -157,7 +157,7 @@
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "495 ms ± 71 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)\n"
+      "440 ms ± 85.7 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)\n"
      ]
     }
    ],
@@ -174,26 +174,6 @@
     "    \n",
     "    problem.solve(ignore_dpp=True)"
    ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": 8,
-   "id": "c534a9db",
-   "metadata": {
-    "collapsed": false,
-    "jupyter": {
-     "outputs_hidden": false
-    },
-    "pycharm": {
-     "name": "#%%\n"
-    }
-   },
-   "outputs": [],
-   "source": [
-    "# check the solution\n",
-    "assert np.isclose(w.value.sum(), 1.0)\n",
-    "assert np.all(w.value > -0.01)"
-   ]
   }
  ],
  "metadata": {

diff --git a/book/docs/notebooks/sample.ipynb b/book/docs/notebooks/sample.ipynb
@@ -34,14 +34,14 @@
     "import cvxpy as cp\n",
     "\n",
     "from cvx.risk.sample import SampleCovariance\n",
-    "from cvx.risk.random import rand_cov\n",
+    "from cvx.random import rand_cov\n",
     "\n",
     "n = 6"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": 4,
+   "execution_count": 2,
    "metadata": {
     "collapsed": false,
     "jupyter": {
@@ -67,7 +67,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 5,
+   "execution_count": 3,
    "metadata": {
     "collapsed": false,
     "jupyter": {
@@ -82,7 +82,7 @@
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "358 ms ± 15.2 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)\n"
+      "342 ms ± 13.2 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)\n"
      ]
     }
    ],
@@ -100,7 +100,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 7,
+   "execution_count": 4,
    "metadata": {
     "collapsed": false,
     "jupyter": {
@@ -115,7 +115,7 @@
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "4.13 s ± 53.4 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)\n"
+      "3.92 s ± 51.8 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)\n"
      ]
     }
    ],

diff --git a/cvx/risk/linalg/__init__.py → cvx/linalg/__init__.py b/cvx/risk/linalg/__init__.py → cvx/linalg/__init__.py
diff --git a/cvx/risk/linalg/cholesky.py → cvx/linalg/cholesky.py b/cvx/risk/linalg/cholesky.py → cvx/linalg/cholesky.py
diff --git a/cvx/risk/linalg/pca.py → cvx/linalg/pca.py b/cvx/risk/linalg/pca.py → cvx/linalg/pca.py
diff --git a/cvx/risk/linalg/valid.py → cvx/linalg/valid.py b/cvx/risk/linalg/valid.py → cvx/linalg/valid.py
diff --git a/cvx/risk/random/__init__.py → cvx/random/__init__.py b/cvx/risk/random/__init__.py → cvx/random/__init__.py
diff --git a/cvx/risk/random/rand_cov.py → cvx/random/rand_cov.py b/cvx/risk/random/rand_cov.py → cvx/random/rand_cov.py
diff --git a/cvx/risk/factor/factor.py b/cvx/risk/factor/factor.py
@@ -8,7 +8,7 @@
 import cvxpy as cvx
 import numpy as np
 
-from cvx.risk.linalg import cholesky
+from cvx.linalg import cholesky
 from cvx.risk.model import Bounds
 from cvx.risk.model import RiskModel
 

diff --git a/cvx/risk/model.py b/cvx/risk/model.py
@@ -25,11 +25,13 @@ def estimate(self, weights, **kwargs):
         Estimate the variance given the portfolio weights
         """
 
+    @abstractmethod
     def update(self, **kwargs):
         """
         Update the data in the risk model
         """
 
+    @abstractmethod
     def constraints(self, weights, **kwargs):
         """
         Return the constraints for the risk model
@@ -38,12 +40,12 @@ def constraints(self, weights, **kwargs):
 
 @dataclass
 class Bounds(RiskModel):
+    m: int = 0
+
     def estimate(self, weights, **kwargs):
         """No estimation for bounds"""
         raise NotImplementedError("No estimation for bounds")
 
-    m: int = 0
-
     def __post_init__(self):
         self.parameter["lower"] = cp.Parameter(
             shape=self.m,

diff --git a/cvx/risk/sample/sample.py b/cvx/risk/sample/sample.py
@@ -8,7 +8,7 @@
 import cvxpy as cvx
 import numpy as np
 
-from cvx.risk.linalg import cholesky
+from cvx.linalg import cholesky
 from cvx.risk.model import Bounds
 from cvx.risk.model import RiskModel
 

diff --git a/tests/test_risk/test_linalg/__init__.py → tests/test_linalg/__init__.py b/tests/test_risk/test_linalg/__init__.py → tests/test_linalg/__init__.py
diff --git a/tests/test_risk/test_linalg/test_cholesky.py → tests/test_linalg/test_cholesky.py b/tests/test_risk/test_linalg/test_cholesky.py → tests/test_linalg/test_cholesky.py
@@ -3,8 +3,8 @@
 
 import numpy as np
 
-from cvx.risk.linalg import cholesky
-from cvx.risk.random import rand_cov
+from cvx.linalg import cholesky
+from cvx.random import rand_cov
 
 
 def test_cholesky():

diff --git a/tests/test_risk/test_linalg/test_pca.py → tests/test_linalg/test_pca.py b/tests/test_risk/test_linalg/test_pca.py → tests/test_linalg/test_pca.py
@@ -5,7 +5,7 @@
 import pandas as pd
 import pytest
 
-from cvx.risk.linalg import pca
+from cvx.linalg import pca
 
 
 @pytest.fixture()

diff --git a/tests/test_risk/test_linalg/test_valid.py → tests/test_linalg/test_valid.py b/tests/test_risk/test_linalg/test_valid.py → tests/test_linalg/test_valid.py
@@ -4,7 +4,7 @@
 import numpy as np
 import pytest
 
-from cvx.risk.linalg import valid
+from cvx.linalg import valid
 
 
 def test_valid():

diff --git a/tests/test_risk/test_random/__init__.py → tests/test_random/__init__.py b/tests/test_risk/test_random/__init__.py → tests/test_random/__init__.py
diff --git a/tests/test_risk/test_random/test_random.py → tests/test_random/test_random.py b/tests/test_risk/test_random/test_random.py → tests/test_random/test_random.py
@@ -3,7 +3,7 @@
 
 import numpy as np
 
-from cvx.risk.random import rand_cov
+from cvx.random import rand_cov
 
 
 def test_rand_cov():