PortfolioOptimisers.jl

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Base Constraint Generation ​

PortfolioOptimisers.EQ Type
julia
struct EQ <: EqualityComparisonOperator end

Equality comparison operator for constraint generation.

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PortfolioOptimisers.LEQ Type
julia
struct LEQ <: InequalityComparisonOperator end

Less-than-or-equal-to comparison operator for constraint generation.

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PortfolioOptimisers.GEQ Type
julia
struct GEQ <: InequalityComparisonOperator end

Greater-than-or-equal-to comparison operator for constraint generation.

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PortfolioOptimisers.AbstractConstraintResult Type
julia
abstract type AbstractConstraintResult <: AbstractResult end

Abstract supertype for all constraint result types in PortfolioOptimisers.jl.

All concrete types representing the result of constraint generation or evaluation should subtype AbstractConstraintResult. This enables a consistent interface for handling constraint results across different estimators and algorithms.

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PortfolioOptimisers.AbstractConstraintEstimator Type
julia
abstract type AbstractConstraintEstimator <: AbstractEstimator end

Abstract supertype for all constraint estimator types in PortfolioOptimisers.jl.

All concrete types implementing constraint generation or estimation algorithms should subtype AbstractConstraintEstimator. This enables extensible and composable workflows for constraint construction and validation.

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PortfolioOptimisers.ComparisonOperator Type
julia
abstract type ComparisonOperator end

Abstract supertype for all comparison operator types used in constraint generation.

Concrete subtypes represent specific comparison semantics (e.g., equality, inequality) for use in constraint definitions and evaluation.

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PortfolioOptimisers.EqualityComparisonOperator Type
julia
abstract type EqualityComparisonOperator <: ComparisonOperator end

Abstract supertype for all equality comparison operator types.

Concrete subtypes represent equality-based comparison semantics (e.g., EQ) for use in constraint definitions.

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PortfolioOptimisers.InequalityComparisonOperator Type
julia
abstract type InequalityComparisonOperator <: ComparisonOperator end

Abstract supertype for all inequality comparison operator types.

Concrete subtypes represent inequality-based comparison semantics (e.g., LEQ, GEQ) for use in constraint definitions.

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PortfolioOptimisers.comparison_sign_ineq_flag Function
julia
comparison_sign_ineq_flag(op::ComparisonOperator)

Return the multiplicative sign and inequality flag for a given comparison operator.

Arguments

  • op::ComparisonOperator: The comparison operator.

Returns

  • sign::Int: The multiplicative sign for the constraint.

  • is_inequality::Bool: true if the operator is an inequality, false for equality.

Examples

julia
julia> PortfolioOptimisers.comparison_sign_ineq_flag(EQ())
(1, false)

julia> PortfolioOptimisers.comparison_sign_ineq_flag(LEQ())
(1, true)

julia> PortfolioOptimisers.comparison_sign_ineq_flag(GEQ())
(-1, true)

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