markowitz.optimizer.solvers

markowitz.optimizer.solvers

Thin wrapper around CVXPY's Problem.solve with typed error mapping.

The wrapper exists for three reasons:

1. Centralise the mapping from CVXPY's free-form status strings to our typed exception hierarchy (so the optimizer body never needs to grow a sprawling if status == ... chain).
2. Provide a single place to plumb solver options through (default CLARABEL with sensible tolerances, override via kwargs).
3. Provide a tiny SolverResult container so callers can introspect objective value / iteration count without poking at private attributes of the CVXPY problem.

SolverResult(status: str, objective_value: float, solver_name: str) dataclass

Outcome of a successful solve.

solve_problem(problem: cp.Problem, *, solver: str = 'CLARABEL', solver_options: dict[str, Any] | None = None) -> SolverResult

Solve problem and translate failures to typed exceptions.

Parameters:

Name	Type	Description	Default
problem	Problem	The CVXPY problem to solve.	required
solver	str	Solver name passed straight through to Problem.solve. Defaults to CLARABEL which ships with CVXPY 1.5+ and handles QPs and SOCPs without a separate install.	'CLARABEL'
solver_options	dict[str, Any] | None	Additional keyword arguments forwarded to the solver backend.	None

Source code in src/markowitz/optimizer/solvers.py

def solve_problem(
    problem: cp.Problem,
    *,
    solver: str = "CLARABEL",
    solver_options: dict[str, Any] | None = None,
) -> SolverResult:
    """Solve ``problem`` and translate failures to typed exceptions.

    Parameters
    ----------
    problem:
        The CVXPY problem to solve.
    solver:
        Solver name passed straight through to ``Problem.solve``.  Defaults
        to ``CLARABEL`` which ships with CVXPY 1.5+ and handles QPs and
        SOCPs without a separate install.
    solver_options:
        Additional keyword arguments forwarded to the solver backend.
    """
    options = dict(solver_options or {})
    try:
        problem.solve(solver=solver, **options)
    except Exception as exc:
        raise SolverError(
            f"Solver {solver!r} raised an exception: {exc}",
            solver_status="solver_error",
            solver_message=str(exc),
        ) from exc

    status = str(problem.status) if problem.status is not None else "unknown"
    objective_value = (
        float(problem.value)
        if problem.value is not None and _is_finite(problem.value)
        else float("nan")
    )

    if status in _OK_STATUSES:
        return SolverResult(
            status=status,
            objective_value=objective_value,
            solver_name=solver,
        )
    if status in _INFEASIBLE_STATUSES:
        raise InfeasibleError(
            f"Problem is infeasible (solver status: {status!r}).",
            solver_status=status,
        )
    if status in _UNBOUNDED_STATUSES:
        raise UnboundedError(
            f"Problem is unbounded (solver status: {status!r}).",
            solver_status=status,
        )
    raise SolverError(
        f"Solver {solver!r} returned unrecognised status {status!r}.",
        solver_status=status,
    )