Code covered by the BSD License  

Highlights from
Risk and Asset Allocation

image thumbnail

Risk and Asset Allocation

by

 

16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

widelen(xc,zc,y0, dx,dz,dy0,d2y0, maxt,pars,K)
%              [t,wr,w] = widelen(xc,zc,y0, dx,dz,dy0,d2y0, maxt,pars,K)
%
% WIDELEN  Computes approximate wide-region neighborhood step length.
% Does extensive line search only if it pays, that is the resulting
% rate will be at most twice the best possible rate, and the step-length
% at least half of the best possible step length.
%
% **********  INTERNAL FUNCTION OF SEDUMI **********
%
% See also sedumi

function [t,wr,w] = widelen(xc,zc,y0, dx,dz,dy0,d2y0, maxt,pars,K)
%
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA  (since 1.1)
%
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
%   Dept. Econometrics & O.R., Tilburg University, the Netherlands.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
%   Dept. Quantitative Economics, Maastricht University, the Netherlands.
%
% Affiliations up to SeDuMi 1.02 (AUG1998):
%   CRL, McMaster University, Canada.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% This program is free software; you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation; either version 2 of the License, or
% (at your option) any later version.
%
% This program is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with this program; if not, write to the Free Software
% Foundation, Inc.,  51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA
%

thetaSQR = pars.theta^2;
ix = K.mainblks;
% --------------------------------------------------
% For descent directions (dy0/y0 < 0), let fullt be
% s.t. y0 + fullt * dy0 + fullt^2 * min(d2y0,0) = 0     (NB: y0 is duality gap)
% This is used to compute the desired accuracy in t (when rate -> 0).
% --------------------------------------------------
if dy0 < -1E-5 * y0
    if d2y0 < 0   % Concave decreasing: gap(fullt) < 0 where y0+fullt*dy0=0.
        fullt = 2 * y0 /(-dy0 + sqrt(dy0^2 - 4*y0*d2y0));  % < y0/abs(dy0).
    else
        fullt = y0 / (-dy0);
    end
    if fullt <= 0
        error('Assertion failed: fullt <= 0')
    end
else
    fullt = 2*maxt;
end
tR = min(maxt, fullt);
if tR < 0
    error('Assertion failed: tR >= 0')
end
% ------------------------------------------------------------
% rate = (y0+t*dy0)/y0 = 1 - (t/fullt) = (fullt - t)/fullt.
% It can never be better than (fullt - tR)/fullt.
% The next criterion ensures that we're never worse than twice best rate'
% ------------------------------------------------------------
t = 0.0;
ntry = 0;  % do loop at least once
while (t < 0.5 * tR) | ( (fullt-tR) + (1e-7 * fullt) < (tR - t) ) | ntry==0
    ntry = 1;
    if tR == maxt                       % Bisection
        tM = 0.1 * t + 0.9 * tR;
    else
        tM = 0.5 * (t + tR);
    end
    xM = xc + tM*dx;
    zM = zc + tM*dz;
    % --------------------------------------------------
    % Let w = D(xM)*zM, compute lambda(w).
    % --------------------------------------------------
    % LORENTZ
    wM.tdetx = tdet(xM,K);
    wM.tdetz = tdet(zM,K);
    detxz = wM.tdetx .* wM.tdetz / 4;
    if isempty(K.q)
        lab2q = zeros(0,1);
    else
        halfxz = (xM(ix(1):ix(2)-1).*zM(ix(1):ix(2)-1)...
            + ddot(xM(ix(2):ix(3)-1),zM,K.qblkstart)) / 2;
        tmp = halfxz.^2 - detxz;
        if tmp > 0
            lab2q = halfxz + sqrt(tmp);
        else
            lab2q = halfxz;
        end
    end
    % PSD
    wM.ux = psdfactor(xM,K);
    wM.s = psdscale(wM.ux,zM,K);
    % ALL:
    wM.lab = [xM(1:K.l).*zM(1:K.l); detxz ./ lab2q; lab2q; psdeig(wM.s,K)];
    [deltaM,hM,alphaM] = iswnbr(wM.lab, thetaSQR);
    if (deltaM <= pars.beta) | ((tM < fullt / 10) & (deltaM < 1))
        w = wM;
        t = tM;
        wr.h=hM;
        wr.alpha=alphaM;
        wr.delta=deltaM;
    else
        tR = tM;
    end
end
% ------------------------------------------------------------
% In the nasty case that we could not make any progress, (t=0),
% take last middle value.
% ------------------------------------------------------------
if t == 0
    w = wM;
    t = tM;
    wr.h=hM;
    wr.alpha=alphaM;
    wr.delta=deltaM;
end
wr.desc = 1;       % always descent direction.

Contact us