safepine_os.math.optimization

Members

CalculatePineAllocation PineAllocationResult CalculatePineAllocation(string[] asset_names_IN, double[][] asset_prices_unit_IN, PINEParams pine_params_IN, double equity_IN)
PineUtility double PineUtility(double[] s, double[] a, double[] b, double[] c, double[] d): PineUtility: Computes a differentiable utility score for one asset’s signal vector using a rational exponential form. Formula: f = (Σₖ aₖ·e^(bₖ·sₖ)) / (Σₖ cₖ·e^(dₖ·sₖ))
PortfolioAllocation Matrix PortfolioAllocation(string[] assets_IN, Matrix asset_ratios_IN, Matrix asset_prices_unit_IN, double equity_IN): PortfolioAllocation: Allocates capital into assets based on signal-derived ratios and current unit prices. Solves A·x = b where A is the diagonal price matrix, x is the asset count vector, and b is total asset value vector.
compute_softmax double[] compute_softmax(double[] scores_IN, double beta)