org.akutan.optimization.test
Class PortOptTest

java.lang.Object
  junit.framework.Assert
      junit.framework.TestCase
          org.akutan.optimization.test.PortOptTest

All Implemented Interfaces:

junit.framework.Test

public class PortOptTest
extends junit.framework.TestCase

This JUnit test uses a simple test case from Fabozzi's book on Robust Optimization, p353, to test my ActiveSet and InteriorPoint solvers.

Since:

7 Nov 2007

Constructor Summary

PortOptTest(java.lang.String name)
Constructs

Method Summary

protected cern.colt.matrix.DoubleMatrix1D	getReturns() Returns the test case asset mean returns
protected cern.colt.matrix.DoubleMatrix2D	getVariances() Returns the test case asset covariance matrix
protected void	setUp()
protected void	tearDown()
void	testActiveSet() Test case for the active set target return optimizer
void	testActiveSetUtility() This test case for the Active Set fixed utility optimization code.
void	testInteriorPoints() Test case for my quadratix interior points optimization
void	testInteriorPointUtility() This test case from the Fabozzi book on Robust Optimization, p353, but needed to be modified so that we solve for a fixed utility - 5.061

Methods inherited from class junit.framework.TestCase

countTestCases, createResult, getName, run, run, runBare, runTest, setName, toString

Methods inherited from class junit.framework.Assert

assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertEquals, assertFalse, assertFalse, assertNotNull, assertNotNull, assertNotSame, assertNotSame, assertNull, assertNull, assertSame, assertSame, assertTrue, assertTrue, fail, fail, failNotEquals, failNotSame, failSame, format

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

PortOptTest

public PortOptTest(java.lang.String name)

Constructs

Parameters:

name - The name of the JUnit tests

Method Detail

setUp

protected void setUp()
              throws java.lang.Exception

Overrides:

setUp in class junit.framework.TestCase

Throws:

java.lang.Exception

tearDown

protected void tearDown()
                 throws java.lang.Exception

Overrides:

tearDown in class junit.framework.TestCase

Throws:

java.lang.Exception

getReturns

protected cern.colt.matrix.DoubleMatrix1D getReturns()

Returns the test case asset mean returns

Returns:

Test returns

getVariances

protected cern.colt.matrix.DoubleMatrix2D getVariances()

Returns the test case asset covariance matrix

Returns:

Test variances

testActiveSet

public void testActiveSet()

Test case for the active set target return optimizer

testActiveSetUtility

public void testActiveSetUtility()

This test case for the Active Set fixed utility optimization code. Note that this case had to be computed from the fixed return solution.

testInteriorPoints

public void testInteriorPoints()

Test case for my quadratix interior points optimization

testInteriorPointUtility

public void testInteriorPointUtility()

This test case from the Fabozzi book on Robust Optimization, p353, but needed to be modified so that we solve for a fixed utility - 5.061