elemento-alpha-tools 1.2.21 → 1.2.23

package/dist/index.d.ts

@@ -19,6 +19,15 @@ export { IStatus as IStatus, IStatusSearchDetails as IStatusSearchDetails, Statu
 export { IType as IType, ITypeSearchDetails as ITypeSearchDetails, TypeManager as TypeManager } from "./crud/TypeManager";
 export { IUserCredentials as IUserCredentials, IUserCredentialsSearchDetails as IUserCredentialsSearchDetails, UserCredentialsManager as UserCredentialsManager } from "./crud/UserCredentialsManager";
 export { IUser as IUser, IUserSearchDetails as IUserSearchDetails, UserManager as UserManager } from "./crud/UserManager";
+export { PortfolioSpace as PortfolioSpace } from "./optimization/search/portfolio/PortfolioSpace";
+export { PortfolioIndividualBuilder as PortfolioIndividualBuilder } from "./optimization/search/portfolio/PortfolioIndividualBuilder";
+export { PopulationGenerator as PopulationGenerator } from "./optimization/population/PopulationGenerator";
+export { PortfolioMutation as PortfolioMutation } from "./optimization/search/portfolio/variate/PortfolioMutation";
+export { PortfolioXOver as PortfolioXOver } from "./optimization/search/portfolio/variate/PortfolioXOver";
+export { RealOrder as RealOrder } from "./sort/real/RealOrder";
+export { ReturnGoal as ReturnGoal } from "./optimization/search/portfolio/goals/ReturnGoal";
+export { VolatilityGoal as VolatilityGoal } from "./optimization/search/portfolio/goals/VolatilityGoal";
+export { PortfolioSearch as PortfolioSearch } from "./optimization/search/portfolio/PortfolioSearch";
 export { applyLoginMocks as applyLoginMocks } from "./crud/test/LoginServiceMocks";
 export { applyPlatformMocks as applyPlatformMocks } from "./crud/test/PlatformMocks";
 export { applyRoleMocks as applyRoleMocks } from "./crud/test/RoleMocks";

package/dist/index.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
+exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
 var ExpressLogableConfig_1 = require("./ap\u00ED/ExpressLogableConfig");
 Object.defineProperty(exports, "ExpressLogableConfig", { enumerable: true, get: function () { return ExpressLogableConfig_1.ExpressLogableConfig; } });
 var ServiceSessionChecker_1 = require("./ap\u00ED/checkers/ServiceSessionChecker");
@@ -43,6 +43,24 @@ var UserCredentialsManager_1 = require("./crud/UserCredentialsManager");
 Object.defineProperty(exports, "UserCredentialsManager", { enumerable: true, get: function () { return UserCredentialsManager_1.UserCredentialsManager; } });
 var UserManager_1 = require("./crud/UserManager");
 Object.defineProperty(exports, "UserManager", { enumerable: true, get: function () { return UserManager_1.UserManager; } });
+var PortfolioSpace_1 = require("./optimization/search/portfolio/PortfolioSpace");
+Object.defineProperty(exports, "PortfolioSpace", { enumerable: true, get: function () { return PortfolioSpace_1.PortfolioSpace; } });
+var PortfolioIndividualBuilder_1 = require("./optimization/search/portfolio/PortfolioIndividualBuilder");
+Object.defineProperty(exports, "PortfolioIndividualBuilder", { enumerable: true, get: function () { return PortfolioIndividualBuilder_1.PortfolioIndividualBuilder; } });
+var PopulationGenerator_1 = require("./optimization/population/PopulationGenerator");
+Object.defineProperty(exports, "PopulationGenerator", { enumerable: true, get: function () { return PopulationGenerator_1.PopulationGenerator; } });
+var PortfolioMutation_1 = require("./optimization/search/portfolio/variate/PortfolioMutation");
+Object.defineProperty(exports, "PortfolioMutation", { enumerable: true, get: function () { return PortfolioMutation_1.PortfolioMutation; } });
+var PortfolioXOver_1 = require("./optimization/search/portfolio/variate/PortfolioXOver");
+Object.defineProperty(exports, "PortfolioXOver", { enumerable: true, get: function () { return PortfolioXOver_1.PortfolioXOver; } });
+var RealOrder_1 = require("./sort/real/RealOrder");
+Object.defineProperty(exports, "RealOrder", { enumerable: true, get: function () { return RealOrder_1.RealOrder; } });
+var ReturnGoal_1 = require("./optimization/search/portfolio/goals/ReturnGoal");
+Object.defineProperty(exports, "ReturnGoal", { enumerable: true, get: function () { return ReturnGoal_1.ReturnGoal; } });
+var VolatilityGoal_1 = require("./optimization/search/portfolio/goals/VolatilityGoal");
+Object.defineProperty(exports, "VolatilityGoal", { enumerable: true, get: function () { return VolatilityGoal_1.VolatilityGoal; } });
+var PortfolioSearch_1 = require("./optimization/search/portfolio/PortfolioSearch");
+Object.defineProperty(exports, "PortfolioSearch", { enumerable: true, get: function () { return PortfolioSearch_1.PortfolioSearch; } });
 var LoginServiceMocks_1 = require("./crud/test/LoginServiceMocks");
 Object.defineProperty(exports, "applyLoginMocks", { enumerable: true, get: function () { return LoginServiceMocks_1.applyLoginMocks; } });
 var PlatformMocks_1 = require("./crud/test/PlatformMocks");

package/dist/index.js.map

@@ -1 +1 @@
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package/dist/optimization/population/Individual.d.ts

@@ -0,0 +1,9 @@
+export declare abstract class Individual<G, P, F> {
+    genotype: G;
+    fitness?: F;
+    constructor(genotype: G);
+    abstract grow(): P;
+}
+export interface IndividualBuilder<G, P, F> {
+    apply(genotype: G): Individual<G, P, F>;
+}

package/dist/optimization/population/Individual.js

@@ -0,0 +1,10 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.Individual = void 0;
+class Individual {
+    constructor(genotype) {
+        this.genotype = genotype;
+    }
+}
+exports.Individual = Individual;
+//# sourceMappingURL=Individual.js.map

package/dist/optimization/population/Individual.js.map

@@ -0,0 +1 @@
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package/dist/optimization/population/PopulationGenerator.d.ts

@@ -0,0 +1,9 @@
+import { Individual, IndividualBuilder } from "./Individual";
+import { Space } from "../search/Space";
+export declare class PopulationGenerator<G, P, F> {
+    private space;
+    private builder;
+    constructor(generator: Space<G>, builder: IndividualBuilder<G, P, F>);
+    generate(count: number): Individual<G, P, F>[];
+    getSpace(): Space<G>;
+}

package/dist/optimization/population/PopulationGenerator.js

@@ -0,0 +1,21 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.PopulationGenerator = void 0;
+class PopulationGenerator {
+    constructor(generator, builder) {
+        this.space = generator;
+        this.builder = builder;
+    }
+    generate(count) {
+        let genotypes = this.space.generateMany(count);
+        let population = [];
+        for (let genotype of genotypes)
+            population.push(this.builder.apply(genotype));
+        return population;
+    }
+    getSpace() {
+        return this.space;
+    }
+}
+exports.PopulationGenerator = PopulationGenerator;
+//# sourceMappingURL=PopulationGenerator.js.map

package/dist/optimization/population/PopulationGenerator.js.map

@@ -0,0 +1 @@
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package/dist/optimization/search/Goal.d.ts

@@ -0,0 +1,9 @@
+import { Order } from "../../sort/Order";
+export declare abstract class Goal<T, R> {
+    protected order: Order<R>;
+    constructor(order: Order<R>);
+    getOrder(): Order<R>;
+    abstract compute(x: T): R;
+    compare(x: T, y: T): number;
+    abstract init(): Promise<void>;
+}

package/dist/optimization/search/Goal.js

@@ -0,0 +1,16 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.Goal = void 0;
+class Goal {
+    constructor(order) {
+        this.order = order;
+    }
+    getOrder() {
+        return this.order;
+    }
+    compare(x, y) {
+        return this.order.compare(this.compute(x), this.compute(y));
+    }
+}
+exports.Goal = Goal;
+//# sourceMappingURL=Goal.js.map

package/dist/optimization/search/Goal.js.map

@@ -0,0 +1 @@
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package/dist/optimization/search/MultiObjectivePopulationSearch.d.ts

@@ -0,0 +1,20 @@
+import { PopulationGenerator } from "../population/PopulationGenerator";
+import { Individual } from "../population/Individual";
+import { Variation } from "./variate/Variation";
+import { Goal } from "./Goal";
+export interface Coupling<G, P, F> {
+    operIndex: number;
+    parents: Individual<G, P, F>[];
+}
+export declare abstract class MultiObjectivePopulationSearch<G, P, F, R> {
+    protected generator: PopulationGenerator<G, P, F[]>;
+    protected goals: Goal<Individual<G, P, F[]>, F>[];
+    protected opers: Variation<G>[];
+    constructor(generator: PopulationGenerator<G, P, F[]>, goals: Goal<Individual<G, P, F[]>, F>[], opers: Variation<G>[]);
+    apply(iters: number, popSize: number): Promise<Individual<G, P, F[]>[]>;
+    protected abstract evaluate(population: Individual<G, P, F[]>[]): Promise<void>;
+    protected abstract select(population: Individual<G, P, F[]>[]): Coupling<G, P, F[]>[];
+    protected abstract reproduce(couplings: Coupling<G, P, F[]>[]): Individual<G, P, F[]>[];
+    protected abstract replace(population: Individual<G, P, F[]>[], offspring: Individual<G, P, F[]>[], popSize: number): Individual<G, P, F[]>[];
+    protected abstract choose(population: Individual<G, P, F[]>[]): Individual<G, P, F[]>[];
+}

package/dist/optimization/search/MultiObjectivePopulationSearch.js

@@ -0,0 +1,34 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.MultiObjectivePopulationSearch = void 0;
+class MultiObjectivePopulationSearch {
+    constructor(generator, goals, opers) {
+        this.generator = generator;
+        this.goals = goals;
+        this.opers = opers;
+    }
+    apply(iters, popSize) {
+        return __awaiter(this, void 0, void 0, function* () {
+            let population = this.generator.generate(popSize);
+            yield this.evaluate(population);
+            for (let iter = 1; iter <= iters; iter++) {
+                let couplings = this.select(population);
+                let offspring = this.reproduce(couplings);
+                yield this.evaluate(offspring);
+                population = this.replace(population, offspring, popSize);
+            }
+            return this.choose(population);
+        });
+    }
+}
+exports.MultiObjectivePopulationSearch = MultiObjectivePopulationSearch;
+//# sourceMappingURL=MultiObjectivePopulationSearch.js.map

package/dist/optimization/search/MultiObjectivePopulationSearch.js.map

@@ -0,0 +1 @@
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package/dist/optimization/search/Space.d.ts

@@ -0,0 +1,7 @@
+export interface Space<T> {
+    generateOne(): T;
+    generateMany(count: number): T[];
+    repair(individual: T): T;
+    repairMany(population: T[]): T[];
+    equals(one: T, two: T): boolean;
+}

package/dist/optimization/search/Space.js

@@ -0,0 +1,3 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=Space.js.map

package/dist/optimization/search/Space.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"Space.js","sourceRoot":"","sources":["../../../src/optimization/search/Space.ts"],"names":[],"mappings":""}

package/dist/optimization/search/portfolio/PortfolioIndividual.d.ts

@@ -0,0 +1,5 @@
+import { Individual } from "../../population/Individual";
+export declare class PortfolioIndividual extends Individual<number[], number[], number[]> {
+    constructor(genotype: number[]);
+    grow(): number[];
+}

package/dist/optimization/search/portfolio/PortfolioIndividual.js

@@ -0,0 +1,14 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.PortfolioIndividual = void 0;
+const Individual_1 = require("../../population/Individual");
+class PortfolioIndividual extends Individual_1.Individual {
+    constructor(genotype) {
+        super(genotype);
+    }
+    grow() {
+        return this.genotype;
+    }
+}
+exports.PortfolioIndividual = PortfolioIndividual;
+//# sourceMappingURL=PortfolioIndividual.js.map

package/dist/optimization/search/portfolio/PortfolioIndividual.js.map

@@ -0,0 +1 @@
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package/dist/optimization/search/portfolio/PortfolioIndividualBuilder.d.ts

@@ -0,0 +1,5 @@
+import { IndividualBuilder } from "../../population/Individual";
+import { PortfolioIndividual } from "./PortfolioIndividual";
+export declare class PortfolioIndividualBuilder implements IndividualBuilder<number[], number[], number[]> {
+    apply(genotype: number[]): PortfolioIndividual;
+}

package/dist/optimization/search/portfolio/PortfolioIndividualBuilder.js

@@ -0,0 +1,11 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.PortfolioIndividualBuilder = void 0;
+const PortfolioIndividual_1 = require("./PortfolioIndividual");
+class PortfolioIndividualBuilder {
+    apply(genotype) {
+        return new PortfolioIndividual_1.PortfolioIndividual(genotype);
+    }
+}
+exports.PortfolioIndividualBuilder = PortfolioIndividualBuilder;
+//# sourceMappingURL=PortfolioIndividualBuilder.js.map

package/dist/optimization/search/portfolio/PortfolioIndividualBuilder.js.map

@@ -0,0 +1 @@
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package/dist/optimization/search/portfolio/PortfolioSearch.d.ts

@@ -0,0 +1,18 @@
+import { Individual } from '../../population/Individual';
+import { PopulationGenerator } from '../../population/PopulationGenerator';
+import { Goal } from '../Goal';
+import { Coupling, MultiObjectivePopulationSearch } from '../MultiObjectivePopulationSearch';
+import { Space } from '../Space';
+import { Variation } from '../variate/Variation';
+export declare class PortfolioSearch extends MultiObjectivePopulationSearch<number[], number[], number, Individual<number[], number[], number[]>> {
+    private selector;
+    private archive;
+    private environmentalSelector;
+    private space;
+    constructor(space: Space<number[]>, generator: PopulationGenerator<number[], number[], number[]>, goals: Goal<Individual<number[], number[], number[]>, number>[], operators: Variation<number[]>[]);
+    protected evaluate(population: Individual<number[], number[], number[]>[]): Promise<void>;
+    protected select(population: Individual<number[], number[], number[]>[]): Coupling<number[], number[], number[]>[];
+    protected reproduce(couplings: Coupling<number[], number[], number[]>[]): Individual<number[], number[], number[]>[];
+    protected replace(population: Individual<number[], number[], number[]>[], offspring: Individual<number[], number[], number[]>[], popSize: number): Individual<number[], number[], number[]>[];
+    protected choose(population: Individual<number[], number[], number[]>[]): Individual<number[], number[], number[]>[];
+}

package/dist/optimization/search/portfolio/PortfolioSearch.js

@@ -0,0 +1,72 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.PortfolioSearch = void 0;
+const MultiObjectivePopulationSearch_1 = require("../MultiObjectivePopulationSearch");
+const EnviromentSelector_1 = require("./noDominanceSelector/EnviromentSelector");
+const PortfolioIndividual_1 = require("./PortfolioIndividual");
+const TournamentSelector_1 = require("./tournament/TournamentSelector");
+class PortfolioSearch extends MultiObjectivePopulationSearch_1.MultiObjectivePopulationSearch {
+    constructor(space, generator, goals, operators) {
+        super(generator, goals, operators);
+        this.archive = [];
+        this.space = space;
+        this.selector = new TournamentSelector_1.TournamentSelector(goals);
+        this.environmentalSelector = new EnviromentSelector_1.EnvironmentSelector(space, goals);
+    }
+    evaluate(population) {
+        return __awaiter(this, void 0, void 0, function* () {
+            for (let individual of population)
+                if (individual.fitness === undefined || individual.fitness.length !== this.goals.length) {
+                    let fitnessValues = [];
+                    for (let goal of this.goals) {
+                        const value = goal.compute(individual);
+                        fitnessValues.push(value);
+                    }
+                    individual.fitness = fitnessValues;
+                }
+        });
+    }
+    select(population) {
+        const couplings = [];
+        for (let individual of population) {
+            const operIndex = Math.floor(Math.random() * this.opers.length);
+            const operator = this.opers[operIndex];
+            let coupling = { operIndex, parents: [individual] };
+            for (let i = 1; i < operator.arity(); i++)
+                coupling.parents.push(this.selector.selectOne(population));
+            couplings.push(coupling);
+        }
+        return couplings;
+    }
+    reproduce(couplings) {
+        let offspring = [];
+        for (let coupling of couplings) {
+            const parentGenotypes = coupling.parents.map(p => p.genotype);
+            const childrenGenotypes = this.opers[coupling.operIndex].apply(parentGenotypes);
+            for (let childGenotype of childrenGenotypes)
+                offspring.push(new PortfolioIndividual_1.PortfolioIndividual(this.space.repair(childGenotype)));
+        }
+        return offspring;
+    }
+    replace(population, offspring, popSize) {
+        this.archive = this.environmentalSelector.reduceEquals(this.environmentalSelector.chooseNonDominated(population.concat(offspring).concat(this.archive)).individuals);
+        console.log("Population before enviromental selection: ", population.length, "Population after adding offspring: ", population.length + offspring.length, "Archive size: ", this.archive.length);
+        return this.environmentalSelector.apply(population.concat(offspring), population.length);
+        // this.archive = this.environmentalSelector.chooseSurvivors(population, offspring, population.length);
+        // return this.archive;
+    }
+    choose(population) {
+        return this.archive;
+    }
+}
+exports.PortfolioSearch = PortfolioSearch;
+//# sourceMappingURL=PortfolioSearch.js.map

package/dist/optimization/search/portfolio/PortfolioSearch.js.map

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package/dist/optimization/search/portfolio/PortfolioSpace.d.ts

@@ -0,0 +1,32 @@
+import { Space } from '../Space';
+export interface PorfolioRestrictions {
+    constraints: {
+        minWeigth: number;
+        maxWeight: number;
+    }[];
+    groupedConstraints: {
+        constraintIndices: number[];
+        minWeight: number;
+        maxWeight: number;
+    }[];
+}
+export declare class PortfolioSpace implements Space<number[]> {
+    private maxIterations;
+    private tolerance;
+    private gradient;
+    private groupGradient;
+    private restrictions;
+    constructor(restrictions: PorfolioRestrictions, maxIterations?: number, tolerance?: number, gradient?: number, groupGradient?: number);
+    equals(one: number[], two: number[]): boolean;
+    getRestrictions(): PorfolioRestrictions;
+    generateMany(count: number): number[][];
+    generateOne(): number[];
+    repairMany(population: number[][]): number[][];
+    repair(individual: number[]): number[];
+    private repairGroupConstraints;
+    private decreaseGroupWeights;
+    private increaseGroupeWeights;
+    private applyBoxConstraints;
+    private checkRestrictions;
+    private normalize;
+}

package/dist/optimization/search/portfolio/PortfolioSpace.js

@@ -0,0 +1,131 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.PortfolioSpace = void 0;
+class PortfolioSpace {
+    constructor(restrictions, maxIterations = 500, tolerance = 1e-7, gradient = 0.6, groupGradient = 0.9) {
+        this.maxIterations = maxIterations;
+        this.tolerance = tolerance;
+        this.gradient = gradient;
+        this.groupGradient = groupGradient;
+        this.restrictions = restrictions;
+    }
+    equals(one, two) {
+        for (let i = 0; i < one.length; i++)
+            if (Math.abs(one[i] - two[i]) > 1e-4)
+                return false;
+        return true;
+    }
+    getRestrictions() {
+        return this.restrictions;
+    }
+    generateMany(count) {
+        let porforlios = [];
+        for (let i = 0; i < count; i++)
+            porforlios.push(this.generateOne());
+        return porforlios;
+    }
+    generateOne() {
+        let portfolio = [];
+        for (let constraint of this.restrictions.constraints)
+            portfolio.push(Math.random() * (constraint.maxWeight - constraint.minWeigth) + constraint.minWeigth);
+        return this.repair(portfolio);
+    }
+    repairMany(population) {
+        return population.map(individual => this.repair(individual));
+    }
+    repair(individual) {
+        individual = this.normalize(individual);
+        for (let iter = 1; iter <= this.maxIterations && !this.checkRestrictions(individual); iter++) {
+            individual = this.applyBoxConstraints(individual);
+            individual = this.normalize(individual);
+            if (this.restrictions.groupedConstraints.length > 0) {
+                individual = this.repairGroupConstraints(individual);
+                individual = this.normalize(individual);
+            }
+        }
+        return individual;
+    }
+    repairGroupConstraints(currentWeights) {
+        const current = [...currentWeights];
+        for (const group of this.restrictions.groupedConstraints) {
+            const groupSum = group.constraintIndices.reduce((sum, index) => sum + current[index], 0);
+            if (groupSum < group.minWeight - this.tolerance) {
+                this.increaseGroupeWeights(current, group, groupSum);
+            }
+            else if (groupSum > group.maxWeight + this.tolerance) {
+                this.decreaseGroupWeights(current, group, groupSum);
+            }
+        }
+        return current;
+    }
+    decreaseGroupWeights(current, group, groupSum) {
+        let excess = groupSum - group.maxWeight;
+        if (excess * this.groupGradient > this.tolerance)
+            excess *= this.groupGradient;
+        const availableDecrease = group.constraintIndices.map(index => current[index] - this.restrictions.constraints[index].minWeigth);
+        const totalAvailable = availableDecrease.reduce((sum, val) => sum + val, 0);
+        if (totalAvailable > excess) {
+            for (let j = 0; j < group.constraintIndices.length; j++) {
+                const idx = group.constraintIndices[j];
+                const proportion = availableDecrease[j] / totalAvailable;
+                current[idx] -= proportion * excess;
+            }
+        }
+        else {
+            for (const idx of group.constraintIndices) {
+                current[idx] = this.restrictions.constraints[idx].minWeigth;
+            }
+        }
+    }
+    increaseGroupeWeights(currentWeight, group, groupSum) {
+        let deficit = group.minWeight - groupSum;
+        if (deficit * this.groupGradient > this.tolerance)
+            deficit *= this.groupGradient;
+        const availableIncrease = group.constraintIndices.map(index => this.restrictions.constraints[index].maxWeight - currentWeight[index]);
+        const totalAvailable = availableIncrease.reduce((sum, val) => sum + val, 0);
+        if (totalAvailable > deficit) {
+            for (let j = 0; j < group.constraintIndices.length; j++) {
+                const idx = group.constraintIndices[j];
+                const proportion = availableIncrease[j] / totalAvailable;
+                currentWeight[idx] += proportion * deficit;
+            }
+        }
+        else {
+            for (const idx of group.constraintIndices) {
+                currentWeight[idx] = this.restrictions.constraints[idx].maxWeight;
+            }
+        }
+    }
+    applyBoxConstraints(currentWeights) {
+        return currentWeights.map((weight, index) => {
+            const min = this.restrictions.constraints[index].minWeigth;
+            const max = this.restrictions.constraints[index].maxWeight;
+            if (weight < min) {
+                let diference = (min - weight) * this.gradient;
+                return diference < this.tolerance ? min : weight + diference;
+            }
+            else if (weight > max) {
+                let diference = (weight - max) * this.gradient;
+                return diference < this.tolerance ? max : weight - diference;
+            }
+            return weight;
+        });
+    }
+    checkRestrictions(individual) {
+        for (let i = 0; i < individual.length; i++)
+            if (individual[i] < this.restrictions.constraints[i].minWeigth - this.tolerance || individual[i] > this.restrictions.constraints[i].maxWeight + this.tolerance)
+                return false;
+        for (let group of this.restrictions.groupedConstraints) {
+            let groupSum = group.constraintIndices.reduce((sum, index) => sum + individual[index], 0);
+            if (groupSum < group.minWeight - this.tolerance || groupSum > group.maxWeight + this.tolerance)
+                return false;
+        }
+        return true;
+    }
+    normalize(weights) {
+        const total = weights.reduce((sum, weight) => sum + weight, 0);
+        return weights.map(weight => weight / total);
+    }
+}
+exports.PortfolioSpace = PortfolioSpace;
+//# sourceMappingURL=PortfolioSpace.js.map

package/dist/optimization/search/portfolio/PortfolioSpace.js.map

@@ -0,0 +1 @@
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package/dist/optimization/search/portfolio/PortfolioTypes.d.ts

@@ -0,0 +1,26 @@
+export interface IAssetConstraint {
+    assetId: number;
+    asset: string;
+    allocation?: number;
+    constraint: {
+        minWeight: number;
+        maxWeight: number;
+    };
+}
+export interface IGroupedConstraint {
+    constraintIndices: number[];
+    minWeight: number;
+    maxWeight: number;
+}
+export interface IPortfolioSettings {
+    constraints: IAssetConstraint[];
+    groupedConstraints: IGroupedConstraint[];
+    isValid?: boolean;
+    validationMessage?: string;
+}
+export interface IPortfolioData {
+    businessId: number;
+    userId: number;
+    type: string;
+    settings: IPortfolioSettings;
+}

package/dist/optimization/search/portfolio/PortfolioTypes.js

@@ -0,0 +1,3 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=PortfolioTypes.js.map

package/dist/optimization/search/portfolio/PortfolioTypes.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"PortfolioTypes.js","sourceRoot":"","sources":["../../../../src/optimization/search/portfolio/PortfolioTypes.ts"],"names":[],"mappings":""}

package/dist/optimization/search/portfolio/goals/ReturnGoal.d.ts

@@ -0,0 +1,17 @@
+import { IMarketData } from '../../../../crud/MarketDataManager';
+import { Order } from '../../../../sort/Order';
+import { Individual } from '../../../population/Individual';
+import { Goal } from '../../Goal';
+import { IPortfolioData } from '../PortfolioTypes';
+export declare class ReturnGoal extends Goal<Individual<number[], number[], number[]>, number> {
+    private marketData;
+    private assetIds;
+    private cachedReturns;
+    constructor(order: Order<number>, portfolioData?: IPortfolioData, marketData?: IMarketData[]);
+    private normaliceMarketData;
+    private calculateDailyReturns;
+    private calculateAnnualReturn;
+    private getAssetReturn;
+    compute(individual: Individual<number[], number[], number[]>): number;
+    init(): Promise<void>;
+}