Nothing
context("Newton cyclical")
N <- 5
V <- matrix(rnorm(N^2), N, N)
Sigma <- V %*% t(V)
test_that("Newton and Cyclical Coordinate Descent give the same results", {
newton <- riskParityPortfolio(Sigma, method_init = "newton")
cyclical_roncalli <- riskParityPortfolio(Sigma, method_init = "cyclical-roncalli")
cyclical_spinu <- riskParityPortfolio(Sigma, method_init = "cyclical-spinu")
expect_true(all(abs(newton$w - cyclical_roncalli$w) < 1e-4))
expect_true(all(abs(newton$risk_contribution - cyclical_roncalli$risk_contribution) < 1e-4))
expect_true(all(abs(newton$w - cyclical_spinu$w) < 1e-4), is_true())
expect_true(all(abs(newton$risk_contribution - cyclical_spinu$risk_contribution) < 1e-4))
})
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