pyepo.data.portfolio

Synthetic data for portfolio

Module Contents

Functions

genData(num_data, num_features, num_assets[, deg, ...])

A function to generate synthetic data and features for travelling salesman
pyepo.data.portfolio.genData(num_data, num_features, num_assets, deg=1, noise_level=1, seed=135)

A function to generate synthetic data and features for travelling salesman

Parameters:

  • num_data (int) – number of data points

  • num_features (int) – dimension of features

  • num_assets (int) – number of assets

  • deg (int) – data polynomial degree

  • noise_level (float) – level of data random noise

  • seed (int) – random seed

Returns:

data features (np.ndarray), costs (np.ndarray)

Return type:

tuple