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Sp500 tolerance - #40

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tschm merged 2 commits into
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sp500-tolerance
Oct 14, 2026
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tschm merged 2 commits into
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sp500-tolerance

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@tschm tschm commented Oct 14, 2026

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tschm and others added 2 commits October 14, 2026 05:31
- test_real_data: allow 1e-9 for the QP gap on S&P downloads other than
  the note's snapshot (1e-10 on the snapshot, as before). On the October
  2026 download the QP missed one corner by 3.4e-10 while the path's KKT
  residual stayed below 4e-12, so a reproducer's fresh download failed
  a test on the baseline, not the path. The note says so.
- keywords under the abstract (the journal asks for 4-6)
- DOIs for 18 of the 21 references, each checked against Crossref,
  CRAN or arXiv. All 21 references were checked: authors, title, venue,
  volume, issue, pages and year match their source. JMLR (scikit-learn),
  the Data Library and the 1974 Lawson-Hanson book have no DOI.

All 14 tests pass with both data sets; the arXiv source compiles
(9 pages, no overfull lines).

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
A clean-clone reproduction (fresh uv cache, uv run --locked, both data
sets downloaded) compared every S&P corner rather than every 10th, and on
that download the QP baseline missed by up to 8.8e-10: inside the 1e-9
tolerance, but with little margin. The path's own KKT residual was 3.0e-12.
Allow 1e-8 on data that are not the snapshot (1e-10 on it, as before), and
say in the note that the QP drifts by up to 9e-10 and what the tests
allow.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
@tschm
tschm merged commit 342e3ed into main Oct 14, 2026
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tschm deleted the sp500-tolerance branch October 14, 2026 14:12
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