|
2073 | 2073 | ], |
2074 | 2074 | "source": [ |
2075 | 2075 | "# Instantiate CVaR optimization problem for the S&P 500 example\n", |
2076 | | - "api_settings = {\n", |
2077 | | - " \"api\": \"cvxpy\", # \"cvxpy\" or \"cuopt_python\"\n", |
2078 | | - " \"weight_constraints_type\": \"parameter\", # \"parameter\" or \"bounds\" (CVXPY only)\n", |
2079 | | - " \"cash_constraints_type\": \"parameter\", # \"parameter\" or \"bounds\" (CVXPY only)\n", |
2080 | | - " }\n", |
| 2076 | + "api_settings = ApiSettings(\n", |
| 2077 | + " api=\"cvxpy\", # \"cvxpy\" or \"cuopt_python\"\n", |
| 2078 | + " weight_constraints_type=\"parameter\", # \"parameter\" or \"bounds\" (CVXPY only)\n", |
| 2079 | + " cash_constraints_type=\"parameter\", # \"parameter\" or \"bounds\" (CVXPY only)\n", |
| 2080 | + ")\n", |
2081 | 2081 | "cvar_problem = cvar_optimizer.CVaR(\n", |
2082 | 2082 | " returns_dict=returns_dict,\n", |
2083 | 2083 | " cvar_params=cvar_params,\n", |
2084 | 2084 | " api_settings=api_settings\n", |
2085 | 2085 | ")\n", |
2086 | 2086 | "\n", |
2087 | 2087 | "# Solve on GPU\n", |
2088 | | - "gpu_solver_settings = {\"solver\":cp.CUOPT, \"verbose\": False, \"solver_method\": \"PDLP\"} \n", |
2089 | | - "gpu_results, gpu_portfolio = cvar_problem.solve_optimization_problem(solver_settings=gpu_solver_settings)\n" |
| 2088 | + "gpu_solver_settings = {\"solver\": cp.CUOPT, \"verbose\": False, \"solver_method\": \"PDLP\"}\n", |
| 2089 | + "gpu_results, gpu_portfolio = cvar_problem.solve_optimization_problem(solver_settings=gpu_solver_settings)" |
2090 | 2090 | ] |
2091 | 2091 | }, |
2092 | 2092 | { |
|
2221 | 2221 | "cvar_problem = cvar_optimizer.CVaR(\n", |
2222 | 2222 | " returns_dict=returns_dict,\n", |
2223 | 2223 | " cvar_params=cvar_params,\n", |
2224 | | - " api_settings={\"api\": \"cuopt_python\"}\n", |
| 2224 | + " api_settings=ApiSettings(api=\"cuopt_python\")\n", |
2225 | 2225 | ")\n", |
2226 | 2226 | "\n", |
2227 | 2227 | "# Solver settings for cuOpt Python API\n", |
2228 | | - "cuopt_settings = {\"log_to_console\":True, \"presolve\": 0, \"method\": 1}\n", |
| 2228 | + "cuopt_settings = {\"log_to_console\": True, \"presolve\": 0, \"method\": 1}\n", |
2229 | 2229 | "\n", |
2230 | 2230 | "# Solve using cuOpt Python API\n", |
2231 | | - "cuopt_gpu_results, cuopt_gpu_portfolio = cvar_problem.solve_optimization_problem(solver_settings=cuopt_settings)\n" |
| 2231 | + "cuopt_gpu_results, cuopt_gpu_portfolio = cvar_problem.solve_optimization_problem(solver_settings=cuopt_settings)" |
2232 | 2232 | ] |
2233 | 2233 | }, |
2234 | 2234 | { |
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