Commit b837a4d2 authored by Martin Maechler's avatar Martin Maechler

In tests/: if OpenBLAS | ATLAS | RMO (MKL): skip some tests

parent 97cc106e
Package: CLA Package: CLA
Version: 0.95-0 Version: 0.95-0
Date: 2019-02-04 Date: 2019-03-13
Title: Critical Line Algorithm in Pure R Title: Critical Line Algorithm in Pure R
Author: Yanhao Shi <syhelena@163.com>, Author: Yanhao Shi <syhelena@163.com>,
Martin Maechler <maechler@stat.math.ethz.ch> Martin Maechler <maechler@stat.math.ethz.ch>
...@@ -8,9 +8,9 @@ Maintainer: Martin Maechler <maechler@stat.math.ethz.ch> ...@@ -8,9 +8,9 @@ Maintainer: Martin Maechler <maechler@stat.math.ethz.ch>
Depends: R (>= 3.2.0) Depends: R (>= 3.2.0)
Imports: stats, grDevices, graphics Imports: stats, grDevices, graphics
Suggests: fGarch, FRAPO, Matrix Suggests: fGarch, FRAPO, Matrix
Description: Implements 'Markovitz' Critical Line Algorithm ('CLA') for Description: Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical
classical mean-variance portfolio optimization. Care has been taken for mean-variance portfolio optimization, see Markovitz (1952) <doi:10.2307/2975974>.
correctness in light of previous buggy implementations. Care has been taken for correctness in light of previous buggy implementations.
License: GPL (>= 3) | file LICENSE License: GPL (>= 3) | file LICENSE
Encoding: UTF-8 Encoding: UTF-8
URL: https://gitlab.math.ethz.ch/maechler/CLA/ URL: https://gitlab.math.ethz.ch/maechler/CLA/
##-*- org -*--> Emacs .. [Tab] key + [Org] menu; C-c C-o to follow links ##-*- org -*--> Emacs .. [Tab] key + [Org] menu; C-c C-o to follow links
* ASAP (no longer "Before release of package") * *Before* next CRAN release
** DONE OpenBLAS, ATLAS, etc: must fix file:tests/SP500-ex.R at least: use
R=/usr/bin/R R-pkg-check CLA # Fedora's R pkg using OpenBLAS
R=R-3.5.1_MS R-pkg-check CLA # (RMO using MKL)
R=R-ATLAS R-pkg-check CLA # using ATLAS
see files ./CLA_ATLAS.out ./CLA_MKL.out ./CLA_OpenBLAS.out
* ASAP (but possibly later than CRAN release)
** TODO check arguments e.g., lB <= uB, sum upper Bounds >= 1 ** TODO check arguments e.g., lB <= uB, sum upper Bounds >= 1
** TODO References --> (mostly done) ** TODO References --> (mostly done): Make Master thesis web-available (from SfS ETHZ) ?
*** DONE 1) References from the thesis, including the "buried" python-paper with *WRONG* algo *** DONE 1) References from the thesis, including the "buried" python-paper with *WRONG* algo
*** TODO 2) Master thesis: I'd like the thesis to be on our web page *** TODO 2) Master thesis: I'd like the thesis to be on our web page
** TODO Improve plot() method, using hyperbolic interpolation see R/CLA.R man/plot.CLA.Rd ** TODO Improve plot() method, using hyperbolic interpolation see R/CLA.R man/plot.CLA.Rd
......
...@@ -4,7 +4,7 @@ ...@@ -4,7 +4,7 @@
\title{News for \R Package \pkg{CLA}}% MM: look into ../svn-log-from.all \title{News for \R Package \pkg{CLA}}% MM: look into ../svn-log-from.all
\newcommand{\CRANpkg}{\href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}} \newcommand{\CRANpkg}{\href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}}
\section{Changes in version 0.95-0 (2019-02-04)}{ \section{Changes in version 0.95-0 (2019-03-13)}{
\subsection{New Features}{ \subsection{New Features}{
\itemize{ \itemize{
\item \emph{Not} back-compatible \emph{changed} result: The very \item \emph{Not} back-compatible \emph{changed} result: The very
...@@ -13,6 +13,7 @@ ...@@ -13,6 +13,7 @@
with the litterature and other implementations. with the litterature and other implementations.
\item Added data set \code{muS.10ex} orginally from Markowitz and Todd. \item Added data set \code{muS.10ex} orginally from Markowitz and Todd.
\item Added \file{NEWS} file. \item Added \file{NEWS} file.
} }
} }
...@@ -28,6 +29,9 @@ ...@@ -28,6 +29,9 @@
\item adapt \file{man/findSig.Rd} example to R 3.6.0's new default \item adapt \file{man/findSig.Rd} example to R 3.6.0's new default
\code{sample()} kind. \code{sample()} kind.
\item Run the \file{tests/*.R} with R versions that use one
OpenBLAS, ATLAS, or MKL (and skip some tests on these).
} }
} }
} }
......
...@@ -77,7 +77,7 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07, ...@@ -77,7 +77,7 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07,
%% \doi{10.1007/BF02282055}. %% \doi{10.1007/BF02282055}.
Niedermayer, A. and Niedermayer, D. (2010) Niedermayer, A. and Niedermayer, D. (2010)
Applying markowitz’s critical line algorithm, in J. B. Guerard (ed.), Applying Markowitz’s Critical Line Algorithm, in J. B. Guerard (ed.),
Handbook of Portfolio Construction, Springer; chapter 12, 383--400; Handbook of Portfolio Construction, Springer; chapter 12, 383--400;
\doi{10.1007/978-0-387-77439-8_12}. \doi{10.1007/978-0-387-77439-8_12}.
...@@ -85,6 +85,10 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07, ...@@ -85,6 +85,10 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07,
An open-source implementation of the critical-line algorithm for portfolio An open-source implementation of the critical-line algorithm for portfolio
optimization, \emph{Algorithms} \bold{6}(1), 169--196; optimization, \emph{Algorithms} \bold{6}(1), 169--196;
\doi{10.3390/a6010169}, \doi{10.3390/a6010169},
Yanhao Shi (2017)
Implementation and applications of critical line algorithm for
portfolio optimization; unpublished Master's thesis, ETH Zurich.
} }
%% \note{ %% \note{
%% } %% }
......
...@@ -10,9 +10,41 @@ b64nLD <- (arch == "x86_64" && .M$sizeof.longdouble != 16) ...@@ -10,9 +10,41 @@ b64nLD <- (arch == "x86_64" && .M$sizeof.longdouble != 16)
if(b64nLD) arch <- paste0(arch, "--no-long-double") if(b64nLD) arch <- paste0(arch, "--no-long-double")
arch arch
## I'd want ## <---> sync with ~/R/Pkgs/robustbase/tests/mc-strict.R
## strict <- we_are_using_Rs_own_BLAS_and_Lapack() # but simply for now ## ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
(strict <- Sys.info()[["user"]] == "maechler")# actually sInfo <- sessionInfo()
if(!exists("osVersion")) osVersion <- sInfo$running
cat("osVersion:", osVersion, "\n")
if(!is.null(osVersion)) "Fedora" # last resort
BLAS.is.LAPACK <- sInfo$BLAS == sInfo$LAPACK
cat("osVersion:", osVersion, "| ",
'BLAS "is" Lapack:', BLAS.is.LAPACK, "\n")
## Find out if we are running Micrsoft R Open
is.MS.Ropen <- {
file.exists(Rpr <- file.path(R.home("etc"), "Rprofile.site")) &&
length(lnsRpr <- readLines(Rpr)) &&
## length(grep("[Mm]icrosoft", lnsRpr)) > 3 # MRO 3.5.1 has '20' times "[Mm]icrosoft"
length(grep("Microsoft R Open", lnsRpr, fixed=TRUE, value=TRUE)) > 0 ## MRO 3.5.1 has it twice
}
if(is.MS.Ropen) cat("We are running 'Microsoft R Open'\n")
## I'd really want
##
## strict <- we_are_using_Rs_own_BLAS_and_Lapack() [ ==> BLAS != Lapack ]
##
## Actually the following is currently (2019-03) equivalent to
## strict <- !(using ATLAS || OpenBLAS || MKL )
if(TRUE) {
strict <- !BLAS.is.LAPACK && !is.MS.Ropen
} else { ## workaround:
strict <- print(Sys.info()[["user"]]) == "maechler"# actually
## but not when testing with /usr/bin/R [OpenBLAS!] (as "maechler"):
if(strict && substr(osVersion, 1,6) == "Fedora" && R.home() == "/usr/lib64/R")
strict <- FALSE
}
cat("strict:", strict, "\n")
data(muS.sp500) data(muS.sp500)
...@@ -27,7 +59,7 @@ system.time(# ~ 9 sec (64-bit); 13.8 sec (32-b florence); seen 27.44 sec on Winb ...@@ -27,7 +59,7 @@ system.time(# ~ 9 sec (64-bit); 13.8 sec (32-b florence); seen 27.44 sec on Winb
) )
CLs5c.0.120 # -> print() method CLs5c.0.120 # -> print() method
un.call <- function(x) { x$call <- NULL ; x } uncall <- function(x) `$<-`(x, call, NULL)
doExtras <- TRUE # for experiments, not normally doExtras <- TRUE # for experiments, not normally
doExtras <- FALSE doExtras <- FALSE
...@@ -40,14 +72,14 @@ if(doExtras) system.time({ ...@@ -40,14 +72,14 @@ if(doExtras) system.time({
}) # 78.101 elapsed [nb-mm4] ; 46.108 [lynne 2018-10] }) # 78.101 elapsed [nb-mm4] ; 46.108 [lynne 2018-10]
if(doExtras) { if(doExtras) {
identical(un.call(CLs5c.ls[["10^-7"]]), un.call(CLs5c.0.120)) identical(uncall(CLs5c.ls[["10^-7"]]), uncall(CLs5c.0.120))
for(i in seq_along(tols)[-1]) { for(i in seq_along(tols)[-1]) {
cat("--=--=--=--=--\n", (n1 <- names(tols[i-1])), " vs. ", (n2 <- names(tols[i])), ": ") cat("--=--=--=--=--\n", (n1 <- names(tols[i-1])), " vs. ", (n2 <- names(tols[i])), ": ")
ae <- all.equal(un.call(CLs5c.ls[[i-1]]), ae <- all.equal(uncall(CLs5c.ls[[i-1]]),
un.call(CLs5c.ls[[ i ]])) uncall(CLs5c.ls[[ i ]]))
if(isTRUE(ae)) cat(" are all.equal()\n") if(isTRUE(ae)) cat(" are all.equal()\n")
else { else {
CLA.i. <- un.call(CLs5c.ls[[i-1]]) ; wgt <- CLA.i.$weights_set CLA.i. <- uncall(CLs5c.ls[[i-1]]) ; wgt <- CLA.i.$weights_set
cat("are different [all.equal()]: dim(..[[",n1,"]]$weights_set) =", cat("are different [all.equal()]: dim(..[[",n1,"]]$weights_set) =",
dim(wgt)[1],"x", dim(wgt)[2],"\n") dim(wgt)[1],"x", dim(wgt)[2],"\n")
} }
...@@ -82,23 +114,26 @@ if(require(Matrix)) withAutoprint(local = FALSE, { ...@@ -82,23 +114,26 @@ if(require(Matrix)) withAutoprint(local = FALSE, {
} }
options(op) options(op)
stopifnot(nrow(wts.non0) == 79) stopifnot(nrow(wts.non0) == 79)
if(FALSE) # once, manually (into tests/ directory if(FALSE) # once, manually (into tests/ directory
saveRDS(wts.non0, "wtsn0.rds") saveRDS(wts.non0, "wtsn0.rds")
file.info("wtsn0.rds")$size # 2702049 file.info("wtsn0.rds")$size # 2702049
wtsn0.ref <- readRDS("wtsn0.rds") wtsn0.ref <- readRDS("wtsn0.rds")
## see on all platforms what we get ## see on all platforms what we get -- on OpenBLAS, the dim() differs !
all.equal(target = wtsn0.ref, current = wts.non0, tol=0) all.equal(target = wtsn0.ref, current = wts.non0, tol=0)
# expect TRUE only on 64bit (Lnx, R's BLAS) # expect TRUE only on 64bit (Lnx, R's BLAS)
# 3.10416e-15 and 1.366427e-15 on other BLAS # 3.10416e-15 and 1.366427e-15 on other BLAS
differWts <- ncol(wtsn0.ref) != ncol(wts.non0)
stopifnot(all.equal(target = wtsn0.ref, current = wts.non0, if(differWts) {
tol = 1e-13)) cat("Got",ncol(wts.non0), "weights from CLA() -- different than ref with",
ncol(wtsn0.ref), "\n")
strict <- FALSE # !
} else {
stopifnot(all.equal(target = wtsn0.ref, current = wts.non0,
tol = 1e-13))
}
non.0.assets <- Filter(function(.) . > 0, apply(wts.non0, 1, function(c) sum(c > 0))) non.0.assets <- Filter(function(.) . > 0, apply(wts.non0, 1, function(c) sum(c > 0)))
b64.n0 <- b64.n0 <-
c(AAPL = 135L, ADSK = 66L, AET = 147L, AMGN = 3L, ATI = 75L, c(AAPL = 135L, ADSK = 66L, AET = 147L, AMGN = 3L, ATI = 75L,
AYE = 56L, AZO = 26L, BAX = 95L, BCR = 35L, BDX = 36L, BIIB = 118L, AYE = 56L, AZO = 26L, BAX = 95L, BCR = 35L, BDX = 36L, BIIB = 118L,
...@@ -177,18 +212,19 @@ if(all(non.0.assets == non.0.TARG)) { ## show differences: ...@@ -177,18 +212,19 @@ if(all(non.0.assets == non.0.TARG)) { ## show differences:
} }
## They have the same names and only differ by +/- 1: ## They have the same names and only differ by +/- 1:
stopifnot( stopifnot(exprs = {
identical(names(b64.n0), names(b32.n0)) identical(names(b64.n0), names(b32.n0))
,
if(b64) !strict || identical(non.0.assets, non.0.TARG) # fails on ATLAS, MKL, OpenBLAS if(b64) !strict || identical(non.0.assets, non.0.TARG) # identical(*) fails on ATLAS, MKL, OpenBLAS
else if(nonWindows) identical(non.0.assets, b32.n0) else if(nonWindows) identical(non.0.assets, b32.n0)
else ## 32-bit Windows else ## 32-bit Windows
TRUE ## for now TRUE ## for now
, identical(head(CLs5c.0.120$free_indices, 12),
differWts || identical(head(CLs5c.0.120$free_indices, 12),
list(c(295L, 453L), 453L, c(453L, 472L), c(19L, 453L, 472L), list(c(295L, 453L), 453L, c(453L, 472L), c(19L, 453L, 472L),
c(19L, 453L), 453L, c(15L, 453L), 15L, c(15L, 320L), c(19L, 453L), 453L, c(15L, 453L), 15L, c(15L, 320L),
c(15L, 105L, 320L), c(105L, 320L), c(105L, 320L, 472L))) c(15L, 105L, 320L), c(105L, 320L), c(105L, 320L, 472L)))
) })
## Check some of the 'Env<n>' versions: --------- ## Check some of the 'Env<n>' versions: ---------
...@@ -219,12 +255,16 @@ if(is.environment(e8 <- nsCLA$Env8)) local(withAutoprint({ ...@@ -219,12 +255,16 @@ if(is.environment(e8 <- nsCLA$Env8)) local(withAutoprint({
system.time(r8 <- e8$cla.solve(muS.sp500$mu, muS.sp500$covar, system.time(r8 <- e8$cla.solve(muS.sp500$mu, muS.sp500$covar,
lB = rep(0,n), uB= rep(1/20, n))) lB = rep(0,n), uB= rep(1/20, n)))
## lynne (2017): 9.6--9.8 sec; 2018: 6.1 sec ## lynne (2017): 9.6--9.8 sec; 2018: 6.1 sec
stopifnot(all.equal(claDrop1st(r8), rCLA, tol = 1e-14)) # they are the same! if(ncol(claDrop1st(r8)$weights_set) == ncol(rCLA$weights_set))
stopifnot(all.equal(claDrop1st(r8), rCLA, tol = 1e-14)) # they are the same!
else cat("#{columns} differ in r8\n")
})) }))
if(is.environment(e9 <- nsCLA$Env9)) local(withAutoprint({ if(is.environment(e9 <- nsCLA$Env9)) local(withAutoprint({
system.time(r9 <- e9$cla.solve(muS.sp500$mu, muS.sp500$covar, system.time(r9 <- e9$cla.solve(muS.sp500$mu, muS.sp500$covar,
lB = rep(0,n), uB= rep(1/20, n))) lB = rep(0,n), uB= rep(1/20, n)))
## lynne(2017): 10.0 sec; 2018: 6.6 sec ## lynne(2017): 10.0 sec; 2018: 6.6 sec
stopifnot(all.equal(claDrop1st(r9), rCLA, tol = 1e-14)) # they are the same! if(ncol(claDrop1st(r9)$weights_set) == ncol(rCLA$weights_set))
stopifnot(all.equal(claDrop1st(r9), rCLA, tol = 1e-14)) # they are the same!
else cat("#{columns} differ in r9\n")
})) }))
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