Add cuOpt SOCP variance-cap support + bump to cuOpt 26.06#50
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jgoldberg-nvidia wants to merge 3 commits into
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Add cuOpt SOCP variance-cap support + bump to cuOpt 26.06#50jgoldberg-nvidia wants to merge 3 commits into
jgoldberg-nvidia wants to merge 3 commits into
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Mean-Variance portfolios with a hard variance cap solved via the direct cuOpt SOCP path (mean_variance_optimizer / MeanVarianceParameters), with SKILL.md guidance, an agent recipe, a Layer 3 benchmark + thresholds, and unit tests. Bumps SOCP deps to cuOpt 26.06. Excludes the demo (SOCP kept out of the Streamlit app per scope). Rebased onto main, so it keeps the rebalance .date() benchmark fix rather than reintroducing the bug. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Adds mean-variance-socp-var-limit to evals-full.json (nightly, now 10 cases); the 4-case P0 gate (evals.json) is unchanged since SOCP is the least gate-critical case. Updates EVAL.md and skill-card.md to mention the SOCP variance-cap workflow. BENCHMARK.md (the merged gate results) is left as-is since SOCP runs only in the nightly set. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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…ent) CI lint (ruff format --check src/) flagged a line-broken assignment that fits within the 88-char limit on one line. Formatting-only; no logic change. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Summary
Adds NVIDIA cuOpt SOCP variance-cap support to the cufolio skill (Mean-Variance portfolios with a hard variance cap via the direct cuOpt SOCP path) and bumps SOCP dependencies to cuOpt 26.06.
Rebuilt on top of the current
main(after #49 merged the eval P0-split + benchmark fix).What's in it
mean_variance_optimizer/MeanVarianceParameters, SKILL.md guidance + agent recipe, Layer 3 benchmark (socp-variance-limit) + thresholds, unit tests.pyproject.toml,uv.lock,README.md).mean-variance-socp-var-limitadded to the nightly set (evals-full.json, now 10 cases). The 4-case P0 CI gate (evals.json) is unchanged — SOCP is the least gate-critical case.BENCHMARK.mdleft as the merged gate-results report (SOCP runs only nightly).Explicitly excluded
demo/changes..date()Layer 3 fix rather than bringing back the bug from the original branch.Validation (local, L4 GPU)
test_core.py): 51 passed, 1 skippedsocp-variance-limitand the fixed rebalance)CI
Comment
/nvskills-cito run the agent eval gate.🤖 Generated with Claude Code