Warn when covariance matrix is PSD but ill-conditioned#726
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Bortlesboat wants to merge 1 commit intoPyPortfolio:mainfrom
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Warn when covariance matrix is PSD but ill-conditioned#726Bortlesboat wants to merge 1 commit intoPyPortfolio:mainfrom
Bortlesboat wants to merge 1 commit intoPyPortfolio:mainfrom
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Add a RuntimeWarning in fix_nonpositive_semidefinite() when the matrix passes the PSD check but has a condition number exceeding 1e10. This alerts users to potential numerical instability in downstream optimization without altering the matrix. Closes PyPortfolio#694
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Summary
Adds a
RuntimeWarninginfix_nonpositive_semidefinite()when the covariance matrix passes the positive semidefinite check but has a condition number exceeding 1e10, indicating potential numerical instability in downstream portfolio optimization.Changes:
np.linalg.cond(matrix)after the PSD gate infix_nonpositive_semidefinite()RuntimeWarningwith the computed condition number when threshold is exceededtry/except LinAlgErrorfor robustnessTest coverage:
Closes #694