Update taming.py

cvxgrp · Oct 23, 2023 · 97601aa · 97601aa
1 parent 2eb2f2f
commit 97601aa
Showing 1 changed file with 3 additions and 1 deletion.
diff --git a/experiments/taming.py b/experiments/taming.py
@@ -17,7 +17,9 @@ def unconstrained_markowitz(inputs: OptimizationInput) -> np.ndarray:
     c = cp.Variable()
     objective = mu @ w
 
-    chol = np.linalg.cholesky(Sigma)
+    chol = np.transpose(np.linalg.cholesky(Sigma))
+    # chol should now be an upper triangular matrix
+
     constraints = [
         cp.sum(w) + c == 1,
         cp.norm2(chol @ w) <= inputs.risk_target,