From 556f75f8595d94b6bef4a6d0999d57b600686afe Mon Sep 17 00:00:00 2001 From: Maurice Berk Date: Fri, 11 Aug 2023 15:18:47 +0100 Subject: [PATCH] Add files --- .github/workflows/CI.yml | 120 +++++++++++++++++ .gitignore | 73 +++++++++++ Cargo.lock | 273 +++++++++++++++++++++++++++++++++++++++ Cargo.toml | 12 ++ pyproject.toml | 16 +++ src/lib.rs | 240 ++++++++++++++++++++++++++++++++++ 6 files changed, 734 insertions(+) create mode 100644 .github/workflows/CI.yml create mode 100644 .gitignore create mode 100644 Cargo.lock create mode 100644 Cargo.toml create mode 100644 pyproject.toml create mode 100644 src/lib.rs diff --git a/.github/workflows/CI.yml b/.github/workflows/CI.yml new file mode 100644 index 0000000..8268eaf --- /dev/null +++ b/.github/workflows/CI.yml @@ -0,0 +1,120 @@ +# This file is autogenerated by maturin v1.1.0 +# To update, run +# +# maturin generate-ci github +# +name: CI + +on: + push: + branches: + - main + - master + tags: + - '*' + pull_request: + workflow_dispatch: + +permissions: + contents: read + +jobs: + linux: + runs-on: ubuntu-latest + strategy: + matrix: + target: [x86_64, x86, aarch64, armv7, s390x, ppc64le] + steps: + - uses: actions/checkout@v3 + - uses: actions/setup-python@v4 + with: + python-version: '3.10' + - name: Build wheels + uses: PyO3/maturin-action@v1 + with: + target: ${{ matrix.target }} + args: --release --out dist --find-interpreter + sccache: 'true' + manylinux: auto + - name: Upload wheels + uses: actions/upload-artifact@v3 + with: + name: wheels + path: dist + + windows: + runs-on: windows-latest + strategy: + matrix: + target: [x64, x86] + steps: + - uses: actions/checkout@v3 + - uses: actions/setup-python@v4 + with: + python-version: '3.10' + architecture: ${{ matrix.target }} + - name: Build wheels + uses: PyO3/maturin-action@v1 + with: + target: ${{ matrix.target }} + args: --release --out dist --find-interpreter + sccache: 'true' + - name: Upload wheels + uses: actions/upload-artifact@v3 + with: + name: wheels + path: dist + + macos: + runs-on: macos-latest + strategy: + matrix: + target: [x86_64, aarch64] + steps: + - uses: actions/checkout@v3 + - uses: actions/setup-python@v4 + with: + python-version: '3.10' + - name: Build wheels + uses: PyO3/maturin-action@v1 + with: + target: ${{ matrix.target }} + args: --release --out dist --find-interpreter + sccache: 'true' + - name: Upload wheels + uses: actions/upload-artifact@v3 + with: + name: wheels + path: dist + + sdist: + runs-on: ubuntu-latest + steps: + - uses: actions/checkout@v3 + - name: Build sdist + uses: PyO3/maturin-action@v1 + with: + command: sdist + args: --out dist + - name: Upload sdist + uses: actions/upload-artifact@v3 + with: + name: wheels + path: dist + + release: + name: Release + runs-on: ubuntu-latest + if: "startsWith(github.ref, 'refs/tags/')" + needs: [linux, windows, macos, sdist] + steps: + - uses: actions/download-artifact@v3 + with: + name: wheels + - name: Publish to PyPI + uses: PyO3/maturin-action@v1 + env: + MATURIN_PYPI_TOKEN: ${{ secrets.PYPI_API_TOKEN }} + with: + command: upload + args: --skip-existing * diff --git a/.gitignore b/.gitignore new file mode 100644 index 0000000..35df1bf --- /dev/null +++ b/.gitignore @@ -0,0 +1,73 @@ +/target + +# Byte-compiled / optimized / DLL files +__pycache__/ +.pytest_cache/ +*.py[cod] + +# C extensions +*.so + +# Distribution / packaging +.Python +.venv/ +env/ +bin/ +build/ +develop-eggs/ +dist/ +eggs/ +lib/ +lib64/ +parts/ +sdist/ +var/ +include/ +man/ +venv/ +*.egg-info/ +.installed.cfg +*.egg + +# Installer logs +pip-log.txt +pip-delete-this-directory.txt +pip-selfcheck.json + +# Unit test / coverage reports +htmlcov/ +.tox/ +.coverage +.cache +nosetests.xml +coverage.xml + +# Translations +*.mo + +# Mr Developer +.mr.developer.cfg +.project +.pydevproject + +# Rope +.ropeproject + +# Django stuff: +*.log +*.pot + +.DS_Store + +# Sphinx documentation +docs/_build/ + +# PyCharm +.idea/ +*.iml + +# VSCode +.vscode/ 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b/Cargo.toml new file mode 100644 index 0000000..5901c23 --- /dev/null +++ b/Cargo.toml @@ -0,0 +1,12 @@ +[package] +name = "kelly" +version = "0.1.0" +edition = "2021" + +# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html +[lib] +name = "kelly" +crate-type = ["cdylib"] + +[dependencies] +pyo3 = "0.19.0" diff --git a/pyproject.toml b/pyproject.toml new file mode 100644 index 0000000..f91b457 --- /dev/null +++ b/pyproject.toml @@ -0,0 +1,16 @@ +[build-system] +requires = ["maturin>=1.1,<2.0"] +build-backend = "maturin" + +[project] +name = "kelly" +requires-python = ">=3.7" +classifiers = [ + "Programming Language :: Rust", + "Programming Language :: Python :: Implementation :: CPython", + "Programming Language :: Python :: Implementation :: PyPy", +] + + +[tool.maturin] +features = ["pyo3/extension-module"] diff --git a/src/lib.rs b/src/lib.rs new file mode 100644 index 0000000..a715e6d --- /dev/null +++ b/src/lib.rs @@ -0,0 +1,240 @@ +use pyo3::prelude::*; + +const HEADER: &str = " Func-count x f(x) Procedure"; + +fn bounded_minimisation( + func: impl Fn(f64) -> f64, + lower_bound: f64, + upper_bound: f64, + verbose: bool, +) -> f64 { + let golden_mean = 0.5 * (3.0 - 5.0_f64.sqrt()); + let sqrt_eps = (2.2e-16_f64).sqrt(); + + let xatol = 1e-5; + let maxfun: u64 = 500; + let x1 = lower_bound; + let x2 = upper_bound; + + let mut flag = 0; + let mut step = " initial"; + + let mut a = x1; + let mut b = x2; + let mut fulc = a + golden_mean * (b - a); + + let mut rat = 0.0; + let mut e: f64 = 0.0; + + let mut nfc = fulc; + let mut xf = fulc; + + let mut x = xf; + let mut fx = func(x); + let mut num = 1; + let mut fu = f64::INFINITY; + + let mut ffulc = fx; + let mut fnfc = fx; + + let mut xm = 0.5 * (a + b); + let mut tol1 = sqrt_eps * xf.abs() + xatol / 3.0; + let mut tol2 = 2.0 * tol1; + + if verbose { + println!(" "); + println!("{HEADER}"); + println!("{0:5.0} {xf:12.6} {fx:12.6} {step}", 1); + } + + while (xf - xm).abs() > (tol2 - 0.5 * (b - a)) { + let mut golden = true; + if e.abs() > tol1 { + golden = false; + let mut r = (xf - nfc) * (fx - ffulc); + let q = (xf - fulc) * (fx - fnfc); + let mut p = (xf - fulc) * q - (xf - nfc) * r; + let mut q = 2.0 * (q - r); + if q > 0.0 { + p = -p; + } + q = q.abs(); + r = e; + e = rat; + + if (p.abs() < (0.5 * q * r).abs()) && (p > q * (a - xf)) && (p < q * (b - xf)) { + rat = (p + 0.0) / q; + x = xf + rat; + step = " parabolic"; + if ((x - a) < tol2) || ((b - x) < tol2) { + let si = (xm - xf).signum() + f64::from((xm - xf) == 0.0); + rat = tol1 * si; + } + } else { + golden = true; + } + } + + if golden { + if xf >= xm { + e = a - xf; + } else { + e = b - xf; + } + rat = golden_mean * e; + step = " golden"; + } + + let si = rat.signum() + f64::from(rat == 0.0); + x = xf + si * f64::max(rat.abs(), tol1); + fu = func(x); + num += 1; + if verbose { + println!("{num:5.0} {x:12.6} {fu:12.6} {step}"); + } + + if fu <= fx { + if x >= xf { + a = xf; + } else { + b = xf; + } + fulc = nfc; + ffulc = fnfc; + nfc = xf; + fnfc = fx; + xf = x; + fx = fu; + } else { + if x < xf { + a = x; + } else { + b = x; + } + if (fu <= fnfc) || (nfc == xf) { + fulc = nfc; + ffulc = fnfc; + nfc = x; + fnfc = fu; + } else if (fu <= ffulc) || (fulc == xf) || (fulc == nfc) { + fulc = x; + ffulc = fu; + } + } + + xm = 0.5 * (a + b); + tol1 = sqrt_eps * xf.abs() + xatol / 3.0; + tol2 = 2.0 * tol1; + + if num >= maxfun { + flag = 1; + break; + } + } + + if xf.is_nan() || fx.is_nan() || fu.is_nan() { + flag = 2; + } + + let fval = fx; + + // TODO: _endprint(x, flag, fval, maxfun, xatol, disp) + + // TODO: Improve return value + x +} + +#[test] +fn example1() { + assert_eq!( + bounded_minimisation(|x| (x - 1.0) * (x - 1.0), -4.0, 4.0, true), + 1.0 + ); +} + +#[test] +fn example2() { + assert_eq!( + bounded_minimisation(|x| (x - 1.0) * (x - 1.0), 3.0, 4.0, true), + 3.0 + ); +} + +fn calculate_log_expected_wealth( + stake: f64, + price: f64, + is_back: bool, + probability: f64, + other_probabilities: &Vec, + position: f64, + other_positions: &Vec, + bankroll: f64, +) -> f64 { + let expected_log_wealth = if is_back { + probability * (bankroll + position + stake * (price - 1.0)).ln() + + (other_positions + .iter() + .zip(other_probabilities.iter()) + .map(|(other_position, other_probability)| { + other_probability * (bankroll + other_position - stake).ln() + }) + .sum::()) + } else { + probability * (bankroll + position - stake * (price - 1.0)).ln() + + (other_positions + .iter() + .zip(other_probabilities.iter()) + .map(|(other_position, other_probability)| { + other_probability * (bankroll + other_position + stake).ln() + }) + .sum::()) + }; + + expected_log_wealth +} + +#[pyfunction] +#[pyo3(signature = (price, is_back, probability, other_probabilities, position, other_positions, bankroll, kelly_fraction, verbose = false))] +fn calculate_kelly_stake( + price: f64, + is_back: bool, + probability: f64, + other_probabilities: Vec, + position: f64, + other_positions: Vec, + bankroll: f64, + kelly_fraction: f64, + verbose: bool, +) -> PyResult { + let kelly_stake = bounded_minimisation( + |stake| { + -calculate_log_expected_wealth( + stake, + price, + is_back, + probability, + &other_probabilities, + position, + &other_positions, + bankroll, + ) + }, + 0.0, + bankroll, + verbose, + ); + Ok(kelly_stake) +} + +/// Formats the sum of two numbers as string. +#[pyfunction] +fn sum_as_string(a: usize, b: usize) -> PyResult { + Ok((a + b).to_string()) +} + +/// A Python module implemented in Rust. +#[pymodule] +fn kelly(_py: Python, m: &PyModule) -> PyResult<()> { + m.add_function(wrap_pyfunction!(calculate_kelly_stake, m)?)?; + Ok(()) +}