qp: add portfolio_large and risk_parity finance benchmarks#6
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dhru189 wants to merge 1 commit intocvxpy:mainfrom
Open
qp: add portfolio_large and risk_parity finance benchmarks#6dhru189 wants to merge 1 commit intocvxpy:mainfrom
dhru189 wants to merge 1 commit intocvxpy:mainfrom
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Added 3 new QP benchmark problems for quantitative finance: - qp/portfolio_large: large scale portfolio (2000 assets) - qp/risk_parity_small: risk parity portfolio (50 assets) - qp/risk_parity_medium: risk parity portfolio (500 assets) Also fixed existing test failure by adding ecp to valid_types. Closes cvxpy#2
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##summary
Added 3 new QP benchmark problems for quantitative finance:
These problems complement the existing portfolio_small and
portfolio_medium benchmarks and cover missing finance problem
types commonly used in production quant systems.
Bug Fix
Also fixed existing test failure in test_problems_have_type_tag
by adding "ecp" to valid_types set.
Testing
Closes #2
cc @WilliamZijieZhang