quantlab.portfolio.approximate.Stopping

class quantlab.portfolio.approximate.Stopping(tolerance=1e-05, max_iterations=20000)

Bases: object

When an iterative panel solver stops on a bar.

Attributes:

tolerancefloat

The bar has converged when its gradient-mapping residual (the largest entry of (y - w) / step, the projected gradient) is at most this times the largest entry of the objective’s gradient at the start: the objective is then within about twice that of its optimum.

max_iterationsint

Iterations before the bar is reported as not converged.

Examples

>>> Stopping()
Stopping(tolerance=1e-05, max_iterations=20000)