Matrix Processing

PortfolioOptimisers.DefaultMatrixProcessing Type

struct DefaultMatrixProcessing{T1, T2, T3, T4} <: AbstractMatrixProcessingEstimator
    pdm::T1
    denoise::T2
    detone::T3
    alg::T4
end

A flexible container type for configuring and applying matrix processing routines in PortfolioOptimisers.jl.

DefaultMatrixProcessing encapsulates all steps required for processing covariance or correlation matrices, including positive definiteness enforcement, denoising, detoning, and optional custom matrix processing algorithms. It is the standard estimator type for matrix processing pipelines and supports a variety of estimator and algorithm types.

Fields

• pdm: Positive definite matrix estimator (see Posdef), or nothing to skip.

• denoise: Denoising estimator (see Denoise), or nothing to skip.

• detone: Detoning estimator (see Detone), or nothing to skip.

• alg: Optional custom matrix processing algorithm, or nothing to skip.

Constructor

DefaultMatrixProcessing(; pdm::Union{Nothing, <:Posdef} = Posdef(),
                        denoise::Union{Nothing, <:Denoise} = nothing,
                        detone::Union{Nothing, <:Detone} = nothing,
                        alg::Union{Nothing, <:AbstractMatrixProcessingAlgorithm} = nothing)

Keyword arguments correspond to the fields above.

Examples

julia> DefaultMatrixProcessing()
DefaultMatrixProcessing
      pdm ┼ Posdef
          │   alg ┴ UnionAll: NearestCorrelationMatrix.Newton
  denoise ┼ nothing
   detone ┼ nothing
      alg ┴ nothing

julia> DefaultMatrixProcessing(; denoise = Denoise(), detone = Detone(; n = 2))
DefaultMatrixProcessing
      pdm ┼ Posdef
          │   alg ┴ UnionAll: NearestCorrelationMatrix.Newton
  denoise ┼ Denoise
          │      alg ┼ ShrunkDenoise
          │          │   alpha ┴ Float64: 0.0
          │     args ┼ Tuple{}: ()
          │   kwargs ┼ @NamedTuple{}: NamedTuple()
          │   kernel ┼ typeof(AverageShiftedHistograms.Kernels.gaussian): AverageShiftedHistograms.Kernels.gaussian
          │        m ┼ Int64: 10
          │        n ┴ Int64: 1000
   detone ┼ Detone
          │   n ┴ Int64: 2
      alg ┴ nothing

Related

• AbstractMatrixProcessingEstimator

• matrix_processing!

• matrix_processing

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PortfolioOptimisers.matrix_processing! Function

matrix_processing!(mp::AbstractMatrixProcessingEstimator, sigma::AbstractMatrix,
                   X::AbstractMatrix, args...; kwargs...)
matrix_processing!(::Nothing, args...; kwargs...)

In-place processing of a covariance or correlation matrix.

The processing pipeline consists of:

1. Positive definiteness enforcement via posdef!.

2. Denoising via denoise!.

3. Detoning via detone!.

4. Optional custom matrix processing algorithm via matrix_processing_algorithm!.

Arguments

• mp::AbstractMatrixProcessingEstimator: Matrix processing estimator specifying the pipeline.

  • mp::DefaultMatrixProcessing: The specified matrix processing steps are applied to sigma using the provided data matrix X.

  • mp::Nothing: No-op.

• sigma: Covariance or correlation matrix to be processed (modified in-place).

• X: Data matrix (observations × assets) used for denoising and detoning.

• args...: Additional positional arguments passed to custom algorithms.

• kwargs...: Additional keyword arguments passed to custom algorithms.

Returns

• nothing. The input matrix sigma is modified in-place.

Examples

julia> using StableRNGs, Statistics

julia> rng = StableRNG(123456789);

julia> X = rand(rng, 10, 5);

julia> sigma = cov(X)
5×5 Matrix{Float64}:
  0.132026     0.0022567   0.0198243    0.00359832  -0.00743829
  0.0022567    0.0514194  -0.0131242    0.004123     0.0312379
  0.0198243   -0.0131242   0.0843837   -0.0325342   -0.00609624
  0.00359832   0.004123   -0.0325342    0.0424332    0.0152574
 -0.00743829   0.0312379  -0.00609624   0.0152574    0.0926441

julia> matrix_processing!(DefaultMatrixProcessing(; denoise = Denoise()), sigma, X)

julia> sigma
5×5 Matrix{Float64}:
 0.132026  0.0        0.0        0.0        0.0
 0.0       0.0514194  0.0        0.0        0.0
 0.0       0.0        0.0843837  0.0        0.0
 0.0       0.0        0.0        0.0424332  0.0
 0.0       0.0        0.0        0.0        0.0926441

julia> sigma = cov(X)
5×5 Matrix{Float64}:
  0.132026     0.0022567   0.0198243    0.00359832  -0.00743829
  0.0022567    0.0514194  -0.0131242    0.004123     0.0312379
  0.0198243   -0.0131242   0.0843837   -0.0325342   -0.00609624
  0.00359832   0.004123   -0.0325342    0.0424332    0.0152574
 -0.00743829   0.0312379  -0.00609624   0.0152574    0.0926441

julia> matrix_processing!(DefaultMatrixProcessing(; detone = Detone()), sigma, X)

julia> sigma
5×5 Matrix{Float64}:
 0.132026    0.0124802   0.0117303    0.0176194    0.0042142
 0.0124802   0.0514194   0.0273105   -0.0290864    0.0088165
 0.0117303   0.0273105   0.0843837   -0.00279296   0.0619156
 0.0176194  -0.0290864  -0.00279296   0.0424332   -0.0242252
 0.0042142   0.0088165   0.0619156   -0.0242252    0.0926441

Related

• matrix_processing

• DefaultMatrixProcessing

• posdef!

• denoise!

• detone!

• matrix_processing_algorithm!

source

PortfolioOptimisers.matrix_processing Function

matrix_processing(mp::AbstractMatrixProcessingEstimator, sigma::AbstractMatrix,
                  X::AbstractMatrix, args...; kwargs...)
matrix_processing(::Nothing, args...; kwargs...)

Out-of-place version of matrix_processing!.

Related

• matrix_processing!

• DefaultMatrixProcessing

• posdef!

• denoise!

• detone!

• matrix_processing_algorithm!

source

PortfolioOptimisers.AbstractMatrixProcessingEstimator Type

abstract type AbstractMatrixProcessingEstimator <: AbstractEstimator end

Abstract supertype for all matrix processing estimator types in PortfolioOptimisers.jl.

All concrete types that implement matrix processing routines—such as covariance matrix cleaning, denoising, or detoning—should subtype AbstractMatrixProcessingEstimator. This enables a consistent interface for matrix processing estimators throughout the package.

Related

• AbstractEstimator

• DefaultMatrixProcessing

source

PortfolioOptimisers.AbstractMatrixProcessingAlgorithm Type

abstract type AbstractMatrixProcessingAlgorithm <: AbstractAlgorithm end

Abstract supertype for all matrix processing algorithm types in PortfolioOptimisers.jl.

All concrete types that implement a specific matrix processing algorithm (e.g., custom cleaning or transformation routines) should subtype AbstractMatrixProcessingAlgorithm. This enables flexible extension and dispatch of matrix processing routines.

Related

• AbstractAlgorithm

• DefaultMatrixProcessing

source

PortfolioOptimisers.matrix_processing_algorithm! Method

matrix_processing_algorithm!(::Nothing, args...; kwargs...)

No-op fallback for matrix processing algorithm routines.

These methods are called internally when no matrix processing algorithm is specified (i.e., when the algorithm argument is nothing). They perform no operation and return nothing, ensuring that the matrix processing pipeline can safely skip optional algorithmic steps.

Arguments

• ::Nothing: Indicates that no algorithm is provided.

• args...: Additional positional arguments (ignored).

• kwargs...: Additional keyword arguments (ignored).

Returns

• nothing.

Related

• matrix_processing_algorithm

• DefaultMatrixProcessing

source

PortfolioOptimisers.matrix_processing_algorithm Method

matrix_processing_algorithm(::Nothing, args...; kwargs...)

Same as matrix_processing_algorithm!, but meant for returning a new matrix instead of modifying it in-place.

Related

• matrix_processing_algorithm!

• DefaultMatrixProcessing

source