Start adding docs to prior estimation.

.github/workflows/Aqua.yml

@@ -0,0 +1,33 @@
+name: Aqua
+
+on:
+  push:
+    branches:
+      - main
+    tags: ["*"]
+  workflow_dispatch:
+  pull_request:
+
+jobs:
+  build:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: julia-actions/setup-julia@latest
+        with:
+          version: '1'
+      - uses: actions/checkout@v5
+      - name: Aqua
+        shell: julia --color=yes {0}
+        run: |
+          using Pkg
+          Pkg.add(PackageSpec(name="Aqua"))
+          Pkg.develop(PackageSpec(path=pwd()))
+          using PortfolioOptimisers, Aqua
+          Aqua.test_ambiguities(PortfolioOptimisers)
+          Aqua.test_unbound_args(PortfolioOptimisers)
+          Aqua.test_undefined_exports(PortfolioOptimisers)
+          Aqua.test_project_extras(PortfolioOptimisers)
+          Aqua.test_stale_deps(PortfolioOptimisers)
+          Aqua.test_piracies(PortfolioOptimisers)
+          Aqua.test_persistent_tasks(PortfolioOptimisers)
+          Aqua.test_deps_compat(PortfolioOptimisers)

.github/workflows/Lint.yml

@@ -15,40 +15,63 @@ concurrency:
 
 jobs:
 
-  lint:
-    name: Linting
+  # lint:
+  #   name: Linting
+  #   runs-on: ubuntu-latest
+  #   steps:
+  #     - name: Clone
+  #       uses: actions/checkout@v5
+  #     - name: Setup Julia
+  #       uses: julia-actions/setup-julia@v2
+  #       with:
+  #         version: "1"
+  #     - name: Use Julia cache
+  #       uses: julia-actions/cache@v2
+  #     - name: Build package (required for ExplicitImports)
+  #       uses: julia-actions/julia-buildpkg@v1
+  #     - name: Install Julia packages
+  #       run: julia -e 'using Pkg; pkg"add ExplicitImports, JuliaFormatter"'
+  #     - name: Hack for setup-python cache # https://github.com/actions/setup-python/issues/807
+  #       run: touch requirements.txt
+  #     - name: Setup Python
+  #       uses: actions/setup-python@v6
+  #       with:
+  #         cache: "pip"
+  #         python-version: "3.11"
+  #     - name: Hack for setup-python cache # https://github.com/actions/setup-python/issues/807
+  #       run: rm requirements.txt
+  #     - name: Cache pre-commit
+  #       uses: actions/cache@v4
+  #       with:
+  #         path: ~/.cache/pre-commit
+  #         key: ${{ runner.os }}-pre-commit-${{ hashFiles('**/.pre-commit-config.yaml') }}
+  #     - name: Install pre-commit
+  #       run: pip install pre-commit
+  #     - name: Run pre-commit
+  #       run: SKIP=no-commit-to-branch pre-commit run -a
+  build:
+    name: Format check
     runs-on: ubuntu-latest
     steps:
-      - name: Clone
-        uses: actions/checkout@v5
-      - name: Setup Julia
-        uses: julia-actions/setup-julia@v2
+      - uses: julia-actions/setup-julia@latest
         with:
-          version: "1"
-      - name: Use Julia cache
-        uses: julia-actions/cache@v2
-      - name: Build package (required for ExplicitImports)
-        uses: julia-actions/julia-buildpkg@v1
-      - name: Install Julia packages
-        run: julia -e 'using Pkg; pkg"add ExplicitImports, JuliaFormatter"'
-      - name: Hack for setup-python cache # https://github.com/actions/setup-python/issues/807
-        run: touch requirements.txt
-      - name: Setup Python
-        uses: actions/setup-python@v6
-        with:
-          cache: "pip"
-          python-version: "3.11"
-      - name: Hack for setup-python cache # https://github.com/actions/setup-python/issues/807
-        run: rm requirements.txt
-      - name: Cache pre-commit
-        uses: actions/cache@v4
-        with:
-          path: ~/.cache/pre-commit
-          key: ${{ runner.os }}-pre-commit-${{ hashFiles('**/.pre-commit-config.yaml') }}
-      - name: Install pre-commit
-        run: pip install pre-commit
-      - name: Run pre-commit
-        run: SKIP=no-commit-to-branch pre-commit run -a
+          version: '1'
+      - uses: actions/checkout@v4
+      - name: Format check
+        shell: julia --color=yes {0}
+        run: |
+          using Pkg
+          # If you update the version, also update the style guide docs.
+          Pkg.add(PackageSpec(name="JuliaFormatter", version="2"))
+          using JuliaFormatter
+          format("."; verbose = true)
+          out = String(read(Cmd(`git diff`)))
+          if isempty(out)
+              exit(0)
+          end
+          @error "Some files have not been formatted !!!"
+          write(stdout, out)
+          exit(1)
   link-checker:
     name: Link checker
     runs-on: ubuntu-latest

Project.toml

@@ -1,7 +1,7 @@
 name = "PortfolioOptimisers"
 uuid = "e0036ec9-05e5-505d-a6a9-07af41c94861"
 authors = ["Daniel Celis Garza <daniel.celis.garza@gmail.com>"]
-version = "0.1.0"
+version = "0.2.0"
 
 [deps]
 ArgCheck = "dce04be8-c92d-5529-be00-80e4d2c0e197"

README.md

@@ -11,6 +11,7 @@
 [![Contributor Covenant](https://img.shields.io/badge/Contributor%20Covenant-2.1-4baaaa.svg)](CODE_OF_CONDUCT.md)
 [![All Contributors](https://img.shields.io/github/all-contributors/dcelisgarza/PortfolioOptimisers.jl?labelColor=5e1ec7&color=c0ffee&style=flat-square)](#contributors)
 [![BestieTemplate](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/JuliaBesties/BestieTemplate.jl/main/docs/src/assets/badge.json)](https://github.com/JuliaBesties/BestieTemplate.jl)
+[![Aqua QA](https://raw.githubusercontent.com/JuliaTesting/Aqua.jl/master/badge.svg)](https://github.com/JuliaTesting/Aqua.jl)
 
 ## How to Cite
 

docs/src/api/13_Prior/01_BasePrior.md

@@ -0,0 +1,19 @@
+# Base Prior
+
+```@docs
+LowOrderPrior
+HighOrderPrior
+prior(pr::PortfolioOptimisers.AbstractPriorEstimator, rd::ReturnsResult; kwargs...)
+prior(pr::PortfolioOptimisers.AbstractPriorResult, args...; kwargs...)
+clusterise(cle::ClusteringEstimator, pr::PortfolioOptimisers.AbstractPriorResult; kwargs...)
+PortfolioOptimisers.AbstractPriorEstimator
+PortfolioOptimisers.AbstractLowOrderPriorEstimator
+PortfolioOptimisers.AbstractLowOrderPriorEstimator_A
+PortfolioOptimisers.AbstractLowOrderPriorEstimator_F
+PortfolioOptimisers.AbstractLowOrderPriorEstimator_AF
+PortfolioOptimisers.AbstractLowOrderPriorEstimator_A_AF
+PortfolioOptimisers.AbstractLowOrderPriorEstimator_F_AF
+PortfolioOptimisers.AbstractLowOrderPriorEstimator_A_F_AF
+PortfolioOptimisers.AbstractHighOrderPriorEstimator
+PortfolioOptimisers.AbstractPriorResult
+```

docs/src/api/13_Prior/02_EmpiricalPrior.md

@@ -0,0 +1,7 @@
+# Empirical Prior
+
+```@docs
+EmpiricalPrior
+prior(pe::EmpiricalPrior{<:Any, <:Any, Nothing}, X::AbstractMatrix, args...; dims::Int = 1,
+      kwargs...)
+```

docs/src/api/13_Prior/03_FactorPrior.md

@@ -0,0 +1,7 @@
+# Factor Prior
+
+```@docs
+FactorPrior
+prior(pe::FactorPrior, X::AbstractMatrix, F::AbstractMatrix; dims::Int = 1,
+               kwargs...)
+```

docs/src/api/13_Prior/04_HighOrderPrior.md

@@ -0,0 +1,9 @@
+# High Order Prior
+
+```@docs
+HighOrderPriorEstimator
+prior(pe::HighOrderPriorEstimator, X::AbstractMatrix,
+               F::Union{Nothing, <:AbstractMatrix} = nothing; dims::Int = 1, kwargs...)
+PortfolioOptimisers.block_vec_pq
+PortfolioOptimisers.dup_elim_sum_matrices
+```

docs/src/api/13_Prior/10_EntropyPoolingPrior.md

@@ -1,4 +1,4 @@
-# Prior
+# Entropy Pooling
 
 ```@docs
 PortfolioOptimisers.replace_prior_views

examples/1_Getting_Started.ipynb

@@ -188,7 +188,7 @@
     {
      "output_type": "execute_result",
      "data": {
-      "text/plain": "MeanRisk\n       opt | JuMPOptimiser\n           |       pe | EmpiricalPrior\n           |          |        ce | PortfolioOptimisersCovariance\n           |          |           |   ce | Covariance\n           |          |           |      |    me | SimpleExpectedReturns\n           |          |           |      |       |   w | nothing\n           |          |           |      |    ce | GeneralWeightedCovariance\n           |          |           |      |       |   ce | SimpleCovariance: SimpleCovariance(true)\n           |          |           |      |       |    w | nothing\n           |          |           |      |   alg | Full()\n           |          |           |   mp | DefaultMatrixProcessing\n           |          |           |      |       pdm | Posdef\n           |          |           |      |           |   alg | UnionAll: NearestCorrelationMatrix.Newton\n           |          |           |      |   denoise | nothing\n           |          |           |      |    detone | nothing\n           |          |           |      |       alg | nothing\n           |          |        me | SimpleExpectedReturns\n           |          |           |   w | nothing\n           |          |   horizon | nothing\n           |      slv | Solver\n           |          |          name | Symbol: :clarabel1\n           |          |        solver | UnionAll: Clarabel.MOIwrapper.Optimizer\n           |          |      settings | Dict{String, Bool}: Dict{String, Bool}(\"verbose\" => 0)\n           |          |     check_sol | @NamedTuple{allow_local::Bool, allow_almost::Bool}: (allow_local = true, allow_almost = true)\n           |          |   add_bridges | Bool: true\n           |       wb | WeightBounds\n           |          |   lb | Float64: 0.0\n           |          |   ub | Float64: 1.0\n           |      bgt | Float64: 1.0\n           |     sbgt | nothing\n           |       lt | nothing\n           |       st | nothing\n           |      lcs | nothing\n           |      lcm | nothing\n           |     cent | nothing\n           |    gcard | nothing\n           |   sgcard | nothing\n           |     smtx | nothing\n           |    sgmtx | nothing\n           |      slt | nothing\n           |      sst | nothing\n           |     sglt | nothing\n           |     sgst | nothing\n           |     sets | nothing\n           |     nplg | nothing\n           |     cplg | nothing\n           |       tn | nothing\n           |       te | nothing\n           |     fees | nothing\n           |      ret | ArithmeticReturn\n           |          |   ucs | nothing\n           |          |    lb | nothing\n           |      sce | SumScalariser: SumScalariser()\n           |     ccnt | nothing\n           |     cobj | nothing\n           |       sc | Int64: 1\n           |       so | Int64: 1\n           |     card | nothing\n           |    scard | nothing\n           |      nea | nothing\n           |       l1 | nothing\n           |       l2 | nothing\n           |       ss | nothing\n           |   strict | Bool: false\n         r | Variance\n           |   settings | RiskMeasureSettings\n           |            |   scale | Float64: 1.0\n           |            |      ub | nothing\n           |            |     rke | Bool: true\n           |      sigma | nothing\n           |         rc | nothing\n           |        alg | SOCRiskExpr()\n       obj | MinimumRisk()\n        wi | nothing\n  fallback | nothing\n"
+      "text/plain": "MeanRisk\n       opt | JuMPOptimiser\n           |       pe | EmpiricalPrior\n           |          |        ce | PortfolioOptimisersCovariance\n           |          |           |   ce | Covariance\n           |          |           |      |    me | SimpleExpectedReturns\n           |          |           |      |       |   w | nothing\n           |          |           |      |    ce | GeneralWeightedCovariance\n           |          |           |      |       |   ce | SimpleCovariance: SimpleCovariance(true)\n           |          |           |      |       |    w | nothing\n           |          |           |      |   alg | Full()\n           |          |           |   mp | DefaultMatrixProcessing\n           |          |           |      |       pdm | Posdef\n           |          |           |      |           |   alg | UnionAll: NearestCorrelationMatrix.Newton\n           |          |           |      |   denoise | nothing\n           |          |           |      |    detone | nothing\n           |          |           |      |       alg | nothing\n           |          |        me | SimpleExpectedReturns\n           |          |           |   w | nothing\n           |          |   horizon | nothing\n           |      slv | Solver\n           |          |          name | Symbol: :clarabel1\n           |          |        solver | UnionAll: Clarabel.MOIwrapper.Optimizer\n           |          |      settings | Dict{String, Bool}: Dict{String, Bool}(\"verbose\" => 0)\n           |          |     check_sol | @NamedTuple{allow_local::Bool, allow_almost::Bool}: (allow_local = true, allow_almost = true)\n           |          |   add_bridges | Bool: true\n           |       wb | WeightBounds\n           |          |   lb | Float64: 0.0\n           |          |   ub | Float64: 1.0\n           |      bgt | Float64: 1.0\n           |     sbgt | nothing\n           |       lt | nothing\n           |       st | nothing\n           |      lcs | nothing\n           |      lcm | nothing\n           |     cent | nothing\n           |    gcard | nothing\n           |   sgcard | nothing\n           |     smtx | nothing\n           |    sgmtx | nothing\n           |      slt | nothing\n           |      sst | nothing\n           |     sglt | nothing\n           |     sgst | nothing\n           |     sets | nothing\n           |      plg | nothing\n           |       tn | nothing\n           |       te | nothing\n           |     fees | nothing\n           |      ret | ArithmeticReturn\n           |          |   ucs | nothing\n           |          |    lb | nothing\n           |      sce | SumScalariser: SumScalariser()\n           |     ccnt | nothing\n           |     cobj | nothing\n           |       sc | Int64: 1\n           |       so | Int64: 1\n           |     card | nothing\n           |    scard | nothing\n           |      nea | nothing\n           |       l1 | nothing\n           |       l2 | nothing\n           |       ss | nothing\n           |   strict | Bool: false\n         r | Variance\n           |   settings | RiskMeasureSettings\n           |            |   scale | Float64: 1.0\n           |            |      ub | nothing\n           |            |     rke | Bool: true\n           |      sigma | nothing\n           |         rc | nothing\n           |        alg | SOCRiskExpr()\n       obj | MinimumRisk()\n        wi | nothing\n  fallback | nothing\n"
      },
      "metadata": {},
      "execution_count": 7
@@ -217,7 +217,7 @@
     {
      "output_type": "execute_result",
      "data": {
-      "text/plain": "JuMPOptimisation\n       oe | DataType: MeanRisk\n       pa | ProcessedJuMPOptimiserAttributes\n          |       pr | LowOrderPrior\n          |          |         X | 252×20 Matrix{Float64}\n          |          |        mu | 20-element Vector{Float64}\n          |          |     sigma | 20×20 Matrix{Float64}\n          |          |      chol | nothing\n          |          |         w | nothing\n          |          |       ens | nothing\n          |          |       kld | nothing\n          |          |        ow | nothing\n          |          |        rr | nothing\n          |          |      f_mu | nothing\n          |          |   f_sigma | nothing\n          |          |       f_w | nothing\n          |       wb | WeightBounds\n          |          |   lb | 20-element StepRangeLen{Float64, Base.TwicePrecision{Float64}, Base.TwicePrecision{Float64}, Int64}\n          |          |   ub | 20-element StepRangeLen{Float64, Base.TwicePrecision{Float64}, Base.TwicePrecision{Float64}, Int64}\n          |       lt | nothing\n          |       st | nothing\n          |      lcs | nothing\n          |     cent | nothing\n          |    gcard | nothing\n          |   sgcard | nothing\n          |     smtx | nothing\n          |    sgmtx | nothing\n          |      slt | nothing\n          |      sst | nothing\n          |     sglt | nothing\n          |     sgst | nothing\n          |     nplg | nothing\n          |     cplg | nothing\n          |       tn | nothing\n          |     fees | nothing\n          |      ret | ArithmeticReturn\n          |          |   ucs | nothing\n          |          |    lb | nothing\n  retcode | OptimisationSuccess\n          |   res | Dict{Any, Any}: Dict{Any, Any}()\n      sol | PortfolioOptimisers.JuMPOptimisationSolution\n          |   w | 20-element Vector{Float64}\n    model | A JuMP Model\n          | ├ solver: Clarabel\n          | ├ objective_sense: MIN_SENSE\n          | │ └ objective_function_type: JuMP.QuadExpr\n          | ├ num_variables: 21\n          | ├ num_constraints: 4\n          | │ ├ JuMP.AffExpr in MOI.EqualTo{Float64}: 1\n          | │ ├ Vector{JuMP.AffExpr} in MOI.Nonnegatives: 1\n          | │ ├ Vector{JuMP.AffExpr} in MOI.Nonpositives: 1\n          | │ └ Vector{JuMP.AffExpr} in MOI.SecondOrderCone: 1\n          | └ Names registered in the model\n          |   └ :G, :bgt, :dev_1, :dev_1_soc, :k, :lw, :obj_expr, :ret, :risk, :risk_vec, :sc, :so, :variance_flag, :variance_risk_1, :w, :w_lb, :w_ub\n"
+      "text/plain": "JuMPOptimisation\n       oe | DataType: MeanRisk\n       pa | ProcessedJuMPOptimiserAttributes\n          |       pr | LowOrderPrior\n          |          |         X | 252×20 Matrix{Float64}\n          |          |        mu | 20-element Vector{Float64}\n          |          |     sigma | 20×20 Matrix{Float64}\n          |          |      chol | nothing\n          |          |         w | nothing\n          |          |       ens | nothing\n          |          |       kld | nothing\n          |          |        ow | nothing\n          |          |        rr | nothing\n          |          |      f_mu | nothing\n          |          |   f_sigma | nothing\n          |          |       f_w | nothing\n          |       wb | WeightBounds\n          |          |   lb | 20-element StepRangeLen{Float64, Base.TwicePrecision{Float64}, Base.TwicePrecision{Float64}, Int64}\n          |          |   ub | 20-element StepRangeLen{Float64, Base.TwicePrecision{Float64}, Base.TwicePrecision{Float64}, Int64}\n          |       lt | nothing\n          |       st | nothing\n          |      lcs | nothing\n          |     cent | nothing\n          |    gcard | nothing\n          |   sgcard | nothing\n          |     smtx | nothing\n          |    sgmtx | nothing\n          |      slt | nothing\n          |      sst | nothing\n          |     sglt | nothing\n          |     sgst | nothing\n          |      plg | nothing\n          |       tn | nothing\n          |     fees | nothing\n          |      ret | ArithmeticReturn\n          |          |   ucs | nothing\n          |          |    lb | nothing\n  retcode | OptimisationSuccess\n          |   res | Dict{Any, Any}: Dict{Any, Any}()\n      sol | PortfolioOptimisers.JuMPOptimisationSolution\n          |   w | 20-element Vector{Float64}\n    model | A JuMP Model\n          | ├ solver: Clarabel\n          | ├ objective_sense: MIN_SENSE\n          | │ └ objective_function_type: JuMP.QuadExpr\n          | ├ num_variables: 21\n          | ├ num_constraints: 4\n          | │ ├ JuMP.AffExpr in MOI.EqualTo{Float64}: 1\n          | │ ├ Vector{JuMP.AffExpr} in MOI.Nonnegatives: 1\n          | │ ├ Vector{JuMP.AffExpr} in MOI.Nonpositives: 1\n          | │ └ Vector{JuMP.AffExpr} in MOI.SecondOrderCone: 1\n          | └ Names registered in the model\n          |   └ :G, :bgt, :dev_1, :dev_1_soc, :k, :lw, :obj_expr, :ret, :risk, :risk_vec, :sc, :so, :variance_flag, :variance_risk_1, :w, :w_lb, :w_ub\n"
      },
      "metadata": {},
      "execution_count": 8