Changes to synthetic returns, TO limited model #26
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phschiele
commented
Oct 29, 2023
Comment on lines
+183
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+203
| @dataclass | ||
| class Timing: | ||
| solver: float | ||
| cvxpy: float | ||
| other: float | ||
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|
||
| @property | ||
| def total(self): | ||
| return self.solver + self.cvxpy + self.other | ||
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||
| @classmethod | ||
| def get_timing( | ||
| cls, start_time: float, end_time: float, problem: cp.Problem | None | ||
| ) -> Timing: | ||
| if problem: | ||
| solver_time = problem.solver_stats.solve_time | ||
| cvxpy_time = problem.compilation_time | ||
| other_time = end_time - start_time - solver_time - cvxpy_time | ||
| return cls(solver_time, cvxpy_time, other_time) | ||
| else: | ||
| return cls(0, 0, 0) |
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I've changed the synthetic returns so we can directly specify the information ratio, and the sigma of the noise is then determined from that.