/tags/alogorithm/ Recent content in Alogorithm on The Personal Website of Myosotics Hugo -- gohugo.io en-US Fri, 10 Nov 2023 00:00:00 +0000 /blog/2023-11-10-portfolio-selection-with-feature-screening/ Fri, 10 Nov 2023 00:00:00 +0000 /blog/2023-11-10-portfolio-selection-with-feature-screening/ 算法和代码均来自文章：Jin-Hong Du, Yifeng Guo & Xueqin Wang (2023) High-Dimensional Portfolio Selection with Cardinality Constraints, Journal of the American Statistical Association, 118:542, 779-791, DOI: 10.1080/01621459.2022.2133718. 首先加載reticulate包，方便在Rmarkdown中使用Python。 library(reticulate) ## Warning: 程辑包'reticulate'是用R版本4.1.3 来建造的 use_python('E:/software/Program Files/python3.11.0') 一个小测试 构建一个数据集用来测试 import numpy as np n = 20 d = 100 np.random.seed(0) X = np.random.rand(n,d) + 0.5 X.shape ## (20, 100) from spo import spo_l1_path ws, lambdas, gaps, n_iters, n_active_features = spo_l1_path(X, func=0, n_lambdas=50, screen=True, max_iter=int(1e4), f=200, tol=1e-3) ## 0%| | 0/50 [00:00<?