[ojAlgo-user] Report A Bug Of ojalgo finace library

[<lvz...@gt...>]

Hi,
      I have a problem when calculate best invest group by using 
markowitzModel in ojalgo with code below(for test);




          for(int j = 0; j < 100; j ++)
         { Builder<PrimitiveMatrix> tmpBuilder = 
PrimitiveMatrix.FACTORY.getBuilder(2, 2);
    tmpBuilder.add(0, 0, 0.040000);
    tmpBuilder.add(0, 1, 0.1000);
    tmpBuilder.add(1, 0, 0.1000);
    tmpBuilder.add(1, 1, 0.250000);
        BasicMatrix covariances = tmpBuilder.build();
        tmpBuilder = PrimitiveMatrix.FACTORY.getBuilder(2);
        tmpBuilder.add(0, 0.20000);
        tmpBuilder.add(1, 0.40000);
        BasicMatrix expectedExcessReturns = tmpBuilder.build(); 
        
       MarketEquilibrium equilibrium = new MarketEquilibrium(covariances);
        MarkowitzModel markowitzModel = new MarkowitzModel(equilibrium, 
expectedExcessReturns);
        markowitzModel.setShortingAllowed(false);
       // markowitzModel.optimiser().validate(true);
        markowitzModel.setTargetReturn(new BigDecimal(0.2 + (0.002 * j)));
        for (int i = 0; i < 2; i++) {
            markowitzModel.setLowerLimit(i, new BigDecimal(0.00000));
            markowitzModel.setUpperLimit(i, new BigDecimal(1.00000));
        }
        System.out.println(0.2 + (0.002 * j) + "," + 
markowitzModel.getReturnVariance() + " , "  +  
markowitzModel.getMeanReturn()  + "," + markowitzModel.getWeights());


}

     
      when TargetReturn equal to 0.206,Variance equal to 0.04 , weights 
equal to [1.0, 0.0]
      when TargetReturn  equal to  0.208, Variance equal to 0.25,weights 
equal to [0.0, 1.0]
      Below  Relationship of TargetReturn And Target Variance（Y-Axis 
TargetReturn,X-AXis standard deviation）



吕子锋