argmin
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| argmin | cvxportfolio | |
|---|---|---|
| 2 | 3 | |
| 887 | 791 | |
| 5.2% | 4.6% | |
| 9.2 | 9.9 | |
| 12 days ago | 3 days ago | |
| Rust | Python | |
| Apache License 2.0 | Apache License 2.0 |
Stars - the number of stars that a project has on GitHub. Growth - month over month growth in stars.
Activity is a relative number indicating how actively a project is being developed. Recent commits have higher weight than older ones.
For example, an activity of 9.0 indicates that a project is amongst the top 10% of the most actively developed projects that we are tracking.
argmin
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Rust concepts I wish I learned earlier
Two things that might help Rust a lot despite the complexity is the tooling and the ecosystem. Cargo is good, the compiler is extremely helpful, and there are a lot of crates to build on for all sorts of tasks.
For example, if I need to use simulated annealing to solve an optimization problem, there already exist libraries that implement that algorithm well.[1] Unfortunately, the Haskell library for this seems to be unmaintained[2] and so does the OCaml library that I can find.[3] Similarly, Agda, Idris, and Lean 4 all seem like great languages. But not having libraries for one's tasks is a big obstacle to adoption.
Nim looks very promising. (Surprisingly so to me.) Hopefully they will succeed at gaining wider recognition and growing a healthy ecosystem.
[1] E.g., https://github.com/argmin-rs/argmin
[2] https://hackage.haskell.org/package/hmatrix-gsl-0.19.0.1 was released in 2018. (Although there are newer commits in the GitHub repo, https://github.com/haskell-numerics/hmatrix. Not too sure what is going on.)
[3] https://github.com/khigia/ocaml-anneal
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Is there a library for non-linear optimization in Rust?
You might find interest in argmin, a collection of common optimization algorithms.
cvxportfolio
What are some alternatives?
optimization-engine - Nonconvex embedded optimization: code generation for fast real-time optimization
PyPortfolioOpt - Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
ceres-solver - A large scale non-linear optimization library
fracdiff - Compute fractional differentiation super-fast. Processes time-series to be stationary while preserving memory. cf. "Advances in Financial Machine Learning" by M. Prado.
cmaes - A Rust implementation of the CMA-ES optimization algorithm.
riskparity.py - Fast and scalable construction of risk parity portfolios
keyboard_layout_optimizer - A keyboard layout optimizer supporting multiple layers. Implemented in Rust.
deepdow - Portfolio optimization with deep learning.
Peroxide - Rust numeric library with R, MATLAB & Python syntax
fecon235 - Notebooks for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics
good_lp - Linear Programming for Rust, with a user-friendly API. This crate allows modeling LP problems, and lets you solve them with various solvers.
image-shrinker-lite - Drag-and-drop image compression app.