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Refine Portfolio Notebook. #160

Merged
merged 9 commits into from
Jul 8, 2021
Merged

Refine Portfolio Notebook. #160

merged 9 commits into from
Jul 8, 2021

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jonpsy
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@jonpsy jonpsy commented Jun 25, 2021

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jonpsy commented Jun 26, 2021 •
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moead-evolution

@zoq @coatless Evolution process. Queried every 2 generations till generation 30. It looks like the algorithm peaks within 30 generations only! Looks so cool, doesn't it? 😎

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zoq commented Jun 27, 2021

Agreed this looks really nice, btw. we could create a gif inside the notebook as well, I did something similar in https://github.com/mlpack/examples/blob/master/pima_indians_diabetes_clustering_with_kmeans/pima-indians-diabetes-kmeans-cpp.ipynb

Also, should we keep the NSGA notebook as well, just to show NSGA2?

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jonpsy commented Jun 27, 2021

Brilliant idea! Sure I can. To take this one step further, it'd be nice if we could put them side by side. NSGA-II and MOEAD, how's that sound?

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jonpsy commented Jun 27, 2021 •
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I guess we can modify Scatter a bit*

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zoq commented Jun 27, 2021

Brilliant idea! Sure I can. To take this one step further, it'd be nice if we could put them side by side. NSGA-II and MOEAD, how's that sound?

Great idea, even better.

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zoq commented Jun 27, 2021

I guess we can modify Scatter a bit*

I think it should work right away if you have the correct format, but feel free to modify it.

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jonpsy commented Jun 27, 2021 •
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We still haven't established the cause for the poor performance of the notebook. Especially since MOEAD, even with 300 population and 500 generations knocks off within 0.8 seconds in an Intel i5-8250U @ 1.7 GHz CPU. How's the progress with OpenBLAS (if I remember correctly) to the repository, @zoq ? I think it still wouldn't be much of a boost.

My guess is that it's spending a lot of time before actually calling Optimize. What do you think?

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jonpsy commented Jun 30, 2021

Fixed lag. The entire notebook runs within 1 minute with beautiful plots. @zoq please review.

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zoq reviewed Jun 30, 2021
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Just a really minor style comment, the rest looks great to me.

portfolio_optimization/portfolio-optimization-cpp.ipynb Outdated Show resolved Hide resolved
portfolio_optimization_moead/portfolio-optimization-moead-cpp.ipynb Outdated Show resolved Hide resolved
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jonpsy commented Jun 30, 2021

I was thinking of creating gif util and use it here actually. So that, on two subplots you can see them evolving side by side.

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jonpsy commented Jul 6, 2021

@zoq I think this is ready.

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portfolio_optimization/portfolio-optimization-cpp.ipynb Outdated Show resolved Hide resolved
portfolio_optimization/portfolio-optimization-cpp.ipynb
"cell_type": "markdown",
"metadata": {},
"source": [
"In this section, we will create a helper class which will generate the CSV file for us based on the parameters provided in previous section. This class would also define the objective functions in question, namely: Return and Volatility. Ideally, we would want to maximize the returns and reduce the volatility. Since our implementation of algorithm works on minimization of all objectives, we have appended negative sign to the returns objective which converts it into a minimization problem."
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We only generate the csv file if the cell above was run, I think it would be useful to be clear about that.

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No more comments from my side, thanks!

@jonpsy jonpsy changed the title Remove NSGA-II use MOEAD in Portfolio Refine Portfolio Notebook. Jul 8, 2021
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Second approval provided automatically after 24 hours. 👍

@zoq zoq merged commit fdc843b into mlpack:master Jul 8, 2021
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zoq commented Jul 8, 2021

Thanks!

@jonpsy jonpsy deleted the moead branch July 9, 2021 03:14
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