Constraints#

How to handle constraints in nonlinear least squares problems using jaxls. This guide covers equality and inequality constraints, with a portfolio optimization example.

Features used:

@jaxls.Cost.factory with kind parameter for constraints
AugmentedLagrangianConfig for solver tuning

import jax
import jax.numpy as jnp
import jaxls

Types of constraints#

jaxls supports three constraint types, specified via the kind parameter in @jaxls.Cost.factory:

Constraint Type	`kind` Parameter	Mathematical Form
Equality	`"constraint_eq_zero"`	\(h(x) = 0\)
Inequality (upper bound)	`"constraint_leq_zero"`	\(g(x) \leq 0\)
Inequality (lower bound)	`"constraint_geq_zero"`	\(g(x) \geq 0\)

The default kind="l2_squared" creates a standard least-squares cost term.

Example: portfolio optimization#

We’ll optimize a portfolio of 4 assets to minimize variance (risk) subject to:

Budget constraint: weights sum to 1 (equality)
Return target: expected return >= minimum threshold (inequality)
No short-selling: all weights >= 0 (inequality)

# Asset data: 4 assets with expected returns and covariance.
n_assets = 4
asset_names = ["Tech", "Healthcare", "Energy", "Bonds"]

# Expected annual returns.
expected_returns = jnp.array([0.12, 0.08, 0.10, 0.04])

# Covariance matrix (annual).
covariance = jnp.array(
    [
        [0.04, 0.006, 0.010, -0.002],
        [0.006, 0.025, 0.004, 0.001],
        [0.010, 0.004, 0.035, -0.001],
        [-0.002, 0.001, -0.001, 0.005],
    ]
)

print(
    "Expected returns:", {n: f"{r:.1%}" for n, r in zip(asset_names, expected_returns)}
)

Expected returns: {'Tech': '12.0%', 'Healthcare': '8.0%', 'Energy': '10.0%', 'Bonds': '4.0%'}

# Define the portfolio weights variable.
class WeightsVar(
    jaxls.Var[jax.Array], default_factory=lambda: jnp.ones(n_assets) / n_assets
):
    """Portfolio weights (n_assets-dimensional vector)."""


weights_var = WeightsVar(id=0)

Defining costs and constraints#

Objective: minimize variance#

Portfolio variance is \(w^T \Sigma w\). We use the Cholesky factor \(L\) where \(\Sigma = LL^T\), so minimizing \(\|L^T w\|^2\) is equivalent to minimizing variance.

# Cholesky decomposition for the variance cost.
cov_chol = jnp.linalg.cholesky(covariance)


@jaxls.Cost.factory  # Default kind="l2_squared".
def variance_cost(
    vals: jaxls.VarValues, var: WeightsVar, cov_chol: jax.Array
) -> jax.Array:
    """Minimize portfolio variance: ||L.T @ w||^2 = w.T @ cov @ w."""
    return cov_chol.T @ vals[var]

Budget constraint (equality)#

The weights must sum to 1 (fully invested portfolio): \(\sum_i w_i = 1\)

We write this as \(h(w) = \sum_i w_i - 1 = 0\).

@jaxls.Cost.factory(kind="constraint_eq_zero")
def budget_constraint(vals: jaxls.VarValues, var: WeightsVar) -> jax.Array:
    """Weights must sum to 1 (fully invested)."""
    weights = vals[var]
    return jnp.array([jnp.sum(weights) - 1.0])

Return target (inequality >= 0)#

Expected portfolio return must meet a minimum target: \(w^T \mu \geq r_{\text{target}}\)

We write this as \(g(w) = w^T \mu - r_{\text{target}} \geq 0\).

@jaxls.Cost.factory(kind="constraint_geq_zero")
def return_constraint(
    vals: jaxls.VarValues, var: WeightsVar, exp_ret: jax.Array, target: float
) -> jax.Array:
    """Expected return must meet target: E[r] >= target."""
    weights = vals[var]
    return jnp.array([jnp.dot(weights, exp_ret) - target])

No short-selling (inequality >= 0)#

All weights must be non-negative: \(w_i \geq 0\) for all \(i\)

This returns the weights directly as the constraint output.

@jaxls.Cost.factory(kind="constraint_geq_zero")
def no_short_selling(vals: jaxls.VarValues, var: WeightsVar) -> jax.Array:
    """No short-selling: weights >= 0."""
    return vals[var]

Solving the problem#

We’ll solve for a target return of 8% (between the lowest-return Bonds at 4% and highest-return Tech at 12%).

target_return = 0.08

costs = [
    variance_cost(weights_var, cov_chol),
    budget_constraint(weights_var),
    return_constraint(weights_var, expected_returns, target_return),
    no_short_selling(weights_var),
]

# Build problem (before .analyze() to visualize the problem structure structure).
unanalyzed_problem = jaxls.LeastSquaresProblem(costs, [weights_var])

# Visualize problem structure structure showing costs, constraints, and variables.
unanalyzed_problem.show()

# Analyze and solve the problem.
problem = unanalyzed_problem.analyze()
solution = problem.solve(
    linear_solver="dense_cholesky",
    termination=jaxls.TerminationConfig(cost_tolerance=1e-8),
)

INFO     | Building optimization problem with 4 terms and 1 variables: 1 costs, 1 eq_zero, 0 leq_zero, 2 geq_zero
INFO     | Vectorizing constraint group with 1 constraints (constraint_eq_zero), 1 variables each: augmented_budget_constraint
INFO     | Vectorizing constraint group with 1 constraints (constraint_geq_zero), 1 variables each: augmented_no_short_selling
INFO     | Vectorizing constraint group with 1 constraints (constraint_geq_zero), 1 variables each: augmented_return_constraint
INFO     | Vectorizing group with 1 costs, 1 variables each: variance_cost
INFO     | Augmented Lagrangian: initial snorm=0.0000e+00, csupn=0.0000e+00, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0088 lambd=0.0005
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00881 (avg 0.00220)
INFO     |  step #1: cost=0.0088 lambd=0.0020
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00881 (avg 0.00220)
INFO     |      accepted=True ATb_norm=2.50e-02 cost_prev=0.0088 cost_new=0.0085
INFO     |  step #2: cost=0.0036 lambd=0.0010
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00498 (avg 0.00498)
INFO     |      - variance_cost(1): 0.00356 (avg 0.00089)
INFO     |      accepted=True ATb_norm=4.96e-02 cost_prev=0.0085 cost_new=0.0057
INFO     |  step #3: cost=0.0049 lambd=0.0005
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00086 (avg 0.00086)
INFO     |      - variance_cost(1): 0.00489 (avg 0.00122)
INFO     |      accepted=True ATb_norm=1.86e-04 cost_prev=0.0057 cost_new=0.0057
INFO     |  AL update: snorm=9.0866e-03, csupn=9.0866e-03, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0049 lambd=0.0003
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00516 (avg 0.00516)
INFO     |      - variance_cost(1): 0.00492 (avg 0.00123)
INFO     |      accepted=True ATb_norm=6.70e-02 cost_prev=0.0101 cost_new=0.0072
INFO     |  step #5: cost=0.0067 lambd=0.0001
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00048 (avg 0.00048)
INFO     |      - variance_cost(1): 0.00673 (avg 0.00168)
INFO     |      accepted=True ATb_norm=2.88e-05 cost_prev=0.0072 cost_new=0.0072
INFO     |  AL update: snorm=1.1763e-03, csupn=1.1763e-03, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0067 lambd=0.0001
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00086 (avg 0.00086)
INFO     |      - variance_cost(1): 0.00673 (avg 0.00168)
INFO     |      accepted=True ATb_norm=4.88e-03 cost_prev=0.0076 cost_new=0.0075
INFO     |  AL update: snorm=1.5293e-04, csupn=1.5293e-04, max_rho=4.0000e+01
INFO     |  step #7: cost=0.0070 lambd=0.0000
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00056 (avg 0.00056)
INFO     |      - variance_cost(1): 0.00702 (avg 0.00175)
INFO     |      accepted=True ATb_norm=6.14e-04 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=1.9595e-05, csupn=1.9595e-05, max_rho=4.0000e+01
INFO     |  step #8: cost=0.0071 lambd=0.0000
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00176)
INFO     |      accepted=True ATb_norm=7.75e-05 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=2.5183e-06, csupn=2.5183e-06, max_rho=4.0000e+01
INFO     |  step #9: cost=0.0071 lambd=0.0000
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00177)
INFO     |      accepted=False ATb_norm=2.92e-05 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=2.5183e-06, csupn=2.5183e-06, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0071 criteria=[0 1 0], term_deltas=9.0e-05,1.8e-05,7.6e-05 (solved in 0.0351 sec)

# Extract results.
optimal_weights = solution[weights_var]

print("\nOptimal allocation:")
for name, w in zip(asset_names, optimal_weights):
    print(f"  {name}: {float(w):.1%}")

portfolio_return = float(jnp.dot(optimal_weights, expected_returns))
portfolio_std = float(jnp.sqrt(optimal_weights @ covariance @ optimal_weights))

print("\nPortfolio metrics:")
print(f"  Expected return: {portfolio_return:.2%}")
print(f"  Std deviation: {portfolio_std:.2%}")
print(f"  Weights sum: {float(jnp.sum(optimal_weights)):.6f}")

Optimal allocation:
  Tech: 26.4%
  Healthcare: 17.3%
  Energy: 20.0%
  Bonds: 36.4%

Portfolio metrics:
  Expected return: 8.00%
  Std deviation: 8.40%
  Weights sum: 1.000000

Efficient frontier#

By varying the target return, we can trace out the efficient frontier. Using jax.lax.scan, we solve sequentially while using each solution as the initial guess for the next (warm-starting).

# Range of target returns.
min_return = float(expected_returns.min())
max_return = float(expected_returns.max())
target_returns = jnp.linspace(min_return + 0.005, max_return - 0.005, 15)


def solve_for_target(
    current_vals: jaxls.VarValues, target: jax.Array
) -> tuple[jaxls.VarValues, jax.Array]:
    """Solve portfolio optimization for a given target return.

    Args:
        current_vals: Solution from previous target (used as initial guess).
        target: Target return for this solve.

    Returns:
        Tuple of (solution values, optimal weights).
    """
    costs = [
        variance_cost(weights_var, cov_chol),
        budget_constraint(weights_var),
        return_constraint(weights_var, expected_returns, target),
        no_short_selling(weights_var),
    ]
    problem = jaxls.LeastSquaresProblem(costs, [weights_var]).analyze()
    solution = problem.solve(
        current_vals,
        linear_solver="dense_cholesky",
        termination=jaxls.TerminationConfig(cost_tolerance=1e-8),
    )
    return solution, solution[weights_var]


# Solve sequentially with warm-starting.
initial_vals = jaxls.VarValues.make([weights_var])
_, all_weights = jax.lax.scan(solve_for_target, initial_vals, target_returns)
returns_achieved = jax.vmap(lambda w: jnp.dot(w, expected_returns))(all_weights)
std_devs = jax.vmap(lambda w: jnp.sqrt(w @ covariance @ w))(all_weights)

print(f"Computed {len(target_returns)} points on the efficient frontier")

INFO     | Building optimization problem with 4 terms and 1 variables: 1 costs, 1 eq_zero, 0 leq_zero, 2 geq_zero
INFO     | Vectorizing constraint group with 1 constraints (constraint_geq_zero), 1 variables each: augmented_no_short_selling
INFO     | Vectorizing constraint group with 1 constraints (constraint_geq_zero), 1 variables each: augmented_return_constraint
INFO     | Vectorizing group with 1 costs, 1 variables each: variance_cost
INFO     | Vectorizing constraint group with 1 constraints (constraint_eq_zero), 1 variables each: augmented_budget_constraint
INFO     | Augmented Lagrangian: initial snorm=0.0000e+00, csupn=0.0000e+00, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0088 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00881 (avg 0.00220)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.50e-02 cost_prev=0.0088 cost_new=0.0035
INFO     |  step #1: cost=0.0035 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.25e-04 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=3.5286e-04, csupn=3.5286e-04, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0035 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=3.50e-02 cost_prev=0.0035 cost_new=0.0035
INFO     |  step #3: cost=0.0035 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #4: cost=0.0035 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.09e-06 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=0.0000e+00, csupn=0.0000e+00, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0035 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #6: cost=0.0035 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #7: cost=0.0035 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0035 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0035 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.78e-06 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=0.0000e+00, csupn=0.0000e+00, max_rho=4.0000e+01
INFO     | Terminated @ iteration #10: cost=0.0035 criteria=[0 1 0], term_deltas=6.6e-08,8.9e-07,1.2e-08 (solved in 0.0300 sec)
INFO     | Augmented Lagrangian: initial snorm=0.0000e+00, csupn=0.0000e+00, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0035 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.75e-03 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=3.5280e-04, csupn=3.5280e-04, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0035 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=3.50e-02 cost_prev=0.0035 cost_new=0.0035
INFO     |  step #2: cost=0.0035 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #3: cost=0.0035 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #4: cost=0.0035 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.61e-06 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=0.0000e+00, csupn=0.0000e+00, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0035 lambd=0.0020
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #6: cost=0.0035 lambd=0.0080
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #7: cost=0.0035 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0035 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.26e-06 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=0.0000e+00, csupn=0.0000e+00, max_rho=4.0000e+01
INFO     | Terminated @ iteration #9: cost=0.0035 criteria=[0 0 1], term_deltas=6.6e-08,1.6e-06,2.3e-08 (solved in 0.0263 sec)
INFO     | Augmented Lagrangian: initial snorm=0.0000e+00, csupn=0.0000e+00, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0035 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.75e-03 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=3.5286e-04, csupn=3.5286e-04, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0035 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=3.50e-02 cost_prev=0.0035 cost_new=0.0035
INFO     |  step #2: cost=0.0035 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #3: cost=0.0035 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #4: cost=0.0035 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #5: cost=0.0035 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #6: cost=0.0035 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #7: cost=0.0035 lambd=131.0720
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00000 (avg 0.00000)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.09e-06 cost_prev=0.0035 cost_new=0.0035
INFO     |  AL update: snorm=0.0000e+00, csupn=0.0000e+00, max_rho=4.0000e+01
INFO     | Terminated @ iteration #8: cost=0.0035 criteria=[1 0 1], term_deltas=0.0e+00,2.1e-06,1.8e-08 (solved in 0.0209 sec)
INFO     | Augmented Lagrangian: initial snorm=4.3688e-03, csupn=4.3688e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0035 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00019 (avg 0.00019)
INFO     |      - variance_cost(1): 0.00353 (avg 0.00088)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.24e-03 cost_prev=0.0037 cost_new=0.0036
INFO     |  AL update: snorm=1.6532e-03, csupn=1.6532e-03, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0036 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00011 (avg 0.00011)
INFO     |      - variance_cost(1): 0.00357 (avg 0.00089)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.93e-02 cost_prev=0.0037 cost_new=0.0037
INFO     |  step #2: cost=0.0036 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #3: cost=0.0036 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #4: cost=0.0036 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #5: cost=0.0036 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #6: cost=0.0036 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #7: cost=0.0036 lambd=131.0720
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0036 lambd=16777.2168
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00005 (avg 0.00005)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=4.10e-06 cost_prev=0.0037 cost_new=0.0037
INFO     |  AL update: snorm=5.9608e-04, csupn=5.9608e-04, max_rho=4.0000e+01
INFO     |  step #10: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=6.30e-04 cost_prev=0.0037 cost_new=0.0037
INFO     |  AL update: snorm=5.9608e-04, csupn=5.9608e-04, max_rho=1.6000e+02
INFO     |  step #11: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=3.14e-03 cost_prev=0.0037 cost_new=0.0037
INFO     |  AL update: snorm=5.9608e-04, csupn=5.9608e-04, max_rho=6.4000e+02
INFO     |  step #12: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #13: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #14: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #15: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #16: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #17: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #18: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #19: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #20: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #21: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #22: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #23: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #24: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #25: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #26: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #27: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #28: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #29: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #30: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #31: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #32: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #33: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #34: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #35: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #36: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #37: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #38: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #39: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #40: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #41: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #42: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #43: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #44: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #45: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #46: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #47: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #48: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #49: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #50: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #51: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #52: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #53: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #54: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #55: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #56: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #57: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #58: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #59: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #60: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #61: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #62: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #63: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #64: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #65: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #66: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #67: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #68: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #69: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #70: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #71: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #72: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #73: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #74: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #75: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #76: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #77: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #78: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #79: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #80: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #81: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #82: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #83: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #84: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #85: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #86: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #87: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #88: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #89: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #90: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #91: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #92: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #93: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #94: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #95: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #96: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #97: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #98: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     |  step #99: cost=0.0036 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00014 (avg 0.00014)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.32e-02 cost_prev=0.0038 cost_new=0.0038
INFO     | Terminated @ iteration #100: cost=0.0036 criteria=[0 0 0], term_deltas=1.3e-07,1.0e-02,2.3e-08 (solved in 0.2753 sec)
INFO     | Augmented Lagrangian: initial snorm=5.5961e-03, csupn=5.5961e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0036 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00031 (avg 0.00031)
INFO     |      - variance_cost(1): 0.00361 (avg 0.00090)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.74e-03 cost_prev=0.0039 cost_new=0.0039
INFO     |  AL update: snorm=3.5115e-03, csupn=3.5115e-03, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0037 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00077 (avg 0.00077)
INFO     |      - variance_cost(1): 0.00373 (avg 0.00093)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.63e-02 cost_prev=0.0045 cost_new=0.0041
INFO     |  step #2: cost=0.0040 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.00400 (avg 0.00100)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.21e-05 cost_prev=0.0041 cost_new=0.0041
INFO     |  AL update: snorm=4.4831e-04, csupn=4.4831e-04, max_rho=4.0000e+01
INFO     |  step #3: cost=0.0040 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00013 (avg 0.00013)
INFO     |      - variance_cost(1): 0.00400 (avg 0.00100)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.86e-03 cost_prev=0.0041 cost_new=0.0041
INFO     |  AL update: snorm=5.8308e-05, csupn=5.8308e-05, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0040 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00404 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.42e-04 cost_prev=0.0041 cost_new=0.0041
INFO     |  AL update: snorm=7.4506e-06, csupn=7.4506e-06, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0041 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00405 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.30e-05 cost_prev=0.0041 cost_new=0.0041
INFO     |  AL update: snorm=9.6858e-07, csupn=9.6858e-07, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0041 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00405 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.90e-05 cost_prev=0.0041 cost_new=0.0041
INFO     |  AL update: snorm=1.1921e-07, csupn=1.1921e-07, max_rho=1.6000e+02
INFO     |  step #7: cost=0.0041 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00405 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0041 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00405 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0041 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00008 (avg 0.00008)
INFO     |      - variance_cost(1): 0.00405 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=4.86e-05 cost_prev=0.0041 cost_new=0.0041
INFO     |  AL update: snorm=1.1921e-07, csupn=1.1921e-07, max_rho=6.4000e+02
INFO     | Terminated @ iteration #10: cost=0.0041 criteria=[0 1 0], term_deltas=2.6e-06,2.5e-05,3.1e-06 (solved in 0.0309 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0001e-03, csupn=5.0001e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0041 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.00405 (avg 0.00101)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.31e-03 cost_prev=0.0043 cost_new=0.0043
INFO     |  AL update: snorm=5.3576e-03, csupn=5.3576e-03, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0040 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00179 (avg 0.00179)
INFO     |      - variance_cost(1): 0.00401 (avg 0.00100)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.30e-02 cost_prev=0.0058 cost_new=0.0048
INFO     |  step #2: cost=0.0046 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00017 (avg 0.00017)
INFO     |      - variance_cost(1): 0.00464 (avg 0.00116)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.72e-05 cost_prev=0.0048 cost_new=0.0048
INFO     |  AL update: snorm=6.9366e-04, csupn=6.9366e-04, max_rho=1.6000e+02
INFO     |  step #3: cost=0.0046 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00030 (avg 0.00030)
INFO     |      - variance_cost(1): 0.00464 (avg 0.00116)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=9.69e-03 cost_prev=0.0049 cost_new=0.0049
INFO     |  AL update: snorm=9.0271e-05, csupn=9.0271e-05, max_rho=1.6000e+02
INFO     |  step #4: cost=0.0047 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00020 (avg 0.00020)
INFO     |      - variance_cost(1): 0.00474 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.10e-04 cost_prev=0.0049 cost_new=0.0049
INFO     |  AL update: snorm=1.1481e-05, csupn=1.1481e-05, max_rho=1.6000e+02
INFO     |  step #5: cost=0.0048 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00018 (avg 0.00018)
INFO     |      - variance_cost(1): 0.00476 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.42e-05 cost_prev=0.0049 cost_new=0.0049
INFO     |  AL update: snorm=1.4752e-06, csupn=1.4752e-06, max_rho=1.6000e+02
INFO     |  step #6: cost=0.0048 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00018 (avg 0.00018)
INFO     |      - variance_cost(1): 0.00476 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.36e-05 cost_prev=0.0049 cost_new=0.0049
INFO     |  AL update: snorm=1.8626e-07, csupn=1.8626e-07, max_rho=1.6000e+02
INFO     |  step #7: cost=0.0048 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00018 (avg 0.00018)
INFO     |      - variance_cost(1): 0.00476 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0048 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00018 (avg 0.00018)
INFO     |      - variance_cost(1): 0.00476 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0048 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00018 (avg 0.00018)
INFO     |      - variance_cost(1): 0.00476 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=3.05e-06 cost_prev=0.0049 cost_new=0.0049
INFO     |  AL update: snorm=1.8626e-07, csupn=1.8626e-07, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0048 criteria=[0 1 0], term_deltas=5.8e-06,1.8e-06,4.9e-06 (solved in 0.0305 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0002e-03, csupn=5.0002e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0048 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.00476 (avg 0.00119)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.14e-03 cost_prev=0.0050 cost_new=0.0049
INFO     |  AL update: snorm=7.2076e-03, csupn=7.2076e-03, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0044 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00325 (avg 0.00325)
INFO     |      - variance_cost(1): 0.00441 (avg 0.00110)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.99e-02 cost_prev=0.0077 cost_new=0.0058
INFO     |  step #2: cost=0.0055 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00030 (avg 0.00030)
INFO     |      - variance_cost(1): 0.00555 (avg 0.00139)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.32e-05 cost_prev=0.0058 cost_new=0.0058
INFO     |  AL update: snorm=9.3812e-04, csupn=9.3812e-04, max_rho=1.6000e+02
INFO     |  step #3: cost=0.0055 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00054 (avg 0.00054)
INFO     |      - variance_cost(1): 0.00555 (avg 0.00139)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.31e-02 cost_prev=0.0061 cost_new=0.0061
INFO     |  step #4: cost=0.0057 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00033 (avg 0.00033)
INFO     |      - variance_cost(1): 0.00573 (avg 0.00143)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #5: cost=0.0057 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00033 (avg 0.00033)
INFO     |      - variance_cost(1): 0.00573 (avg 0.00143)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.60e-05 cost_prev=0.0061 cost_new=0.0061
INFO     |  AL update: snorm=1.2179e-04, csupn=1.2179e-04, max_rho=1.6000e+02
INFO     |  step #6: cost=0.0057 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00036 (avg 0.00036)
INFO     |      - variance_cost(1): 0.00573 (avg 0.00143)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.20e-04 cost_prev=0.0061 cost_new=0.0061
INFO     |  AL update: snorm=1.5818e-05, csupn=1.5818e-05, max_rho=1.6000e+02
INFO     |  step #7: cost=0.0058 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00033 (avg 0.00033)
INFO     |      - variance_cost(1): 0.00576 (avg 0.00144)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=6.46e-05 cost_prev=0.0061 cost_new=0.0061
INFO     |  AL update: snorm=2.0042e-06, csupn=2.0042e-06, max_rho=1.6000e+02
INFO     |  step #8: cost=0.0058 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00033 (avg 0.00033)
INFO     |      - variance_cost(1): 0.00576 (avg 0.00144)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0058 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00033 (avg 0.00033)
INFO     |      - variance_cost(1): 0.00576 (avg 0.00144)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=6.09e-05 cost_prev=0.0061 cost_new=0.0061
INFO     |  AL update: snorm=2.0042e-06, csupn=2.0042e-06, max_rho=6.4000e+02
INFO     | Terminated @ iteration #10: cost=0.0058 criteria=[0 1 0], term_deltas=7.0e-05,3.5e-05,5.8e-05 (solved in 0.0301 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0020e-03, csupn=5.0020e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0058 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.00576 (avg 0.00144)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.14e-03 cost_prev=0.0060 cost_new=0.0057
INFO     |  AL update: snorm=9.0577e-03, csupn=9.0577e-03, max_rho=4.0000e+01
INFO     |  step #1: cost=0.0049 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00513 (avg 0.00513)
INFO     |      - variance_cost(1): 0.00492 (avg 0.00123)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=6.70e-02 cost_prev=0.0101 cost_new=0.0072
INFO     |  step #2: cost=0.0067 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00048 (avg 0.00048)
INFO     |      - variance_cost(1): 0.00672 (avg 0.00168)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.91e-05 cost_prev=0.0072 cost_new=0.0072
INFO     |  AL update: snorm=1.1826e-03, csupn=1.1826e-03, max_rho=4.0000e+01
INFO     |  step #3: cost=0.0067 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00086 (avg 0.00086)
INFO     |      - variance_cost(1): 0.00673 (avg 0.00168)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.86e-03 cost_prev=0.0076 cost_new=0.0075
INFO     |  AL update: snorm=1.5378e-04, csupn=1.5378e-04, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0070 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00056 (avg 0.00056)
INFO     |      - variance_cost(1): 0.00702 (avg 0.00175)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=6.32e-04 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=1.9692e-05, csupn=1.9692e-05, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0071 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00176)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.01e-04 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=2.5183e-06, csupn=2.5183e-06, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0071 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00177)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.60e-05 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=3.3528e-07, csupn=3.3528e-07, max_rho=4.0000e+01
INFO     |  step #7: cost=0.0071 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00177)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0071 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00177)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0071 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00177)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.76e-05 cost_prev=0.0076 cost_new=0.0076
INFO     |  AL update: snorm=3.3528e-07, csupn=3.3528e-07, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0071 criteria=[0 1 0], term_deltas=1.2e-05,9.4e-06,9.8e-06 (solved in 0.0322 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0003e-03, csupn=5.0003e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0071 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.00706 (avg 0.00177)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.12e-02 cost_prev=0.0073 cost_new=0.0067
INFO     |  step #1: cost=0.0056 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00119 (avg 0.00119)
INFO     |      - variance_cost(1): 0.00556 (avg 0.00139)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.34e-05 cost_prev=0.0067 cost_new=0.0067
INFO     |  AL update: snorm=1.0948e-02, csupn=1.0948e-02, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0055 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00749 (avg 0.00749)
INFO     |      - variance_cost(1): 0.00555 (avg 0.00139)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=7.42e-02 cost_prev=0.0130 cost_new=0.0089
INFO     |  step #3: cost=0.0082 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00069 (avg 0.00069)
INFO     |      - variance_cost(1): 0.00817 (avg 0.00204)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #4: cost=0.0082 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00069 (avg 0.00069)
INFO     |      - variance_cost(1): 0.00817 (avg 0.00204)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.86e-05 cost_prev=0.0089 cost_new=0.0089
INFO     |  AL update: snorm=1.4184e-03, csupn=1.4184e-03, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0082 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00124 (avg 0.00124)
INFO     |      - variance_cost(1): 0.00817 (avg 0.00204)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.86e-03 cost_prev=0.0094 cost_new=0.0093
INFO     |  AL update: snorm=1.8483e-04, csupn=1.8483e-04, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0086 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00082 (avg 0.00082)
INFO     |      - variance_cost(1): 0.00859 (avg 0.00215)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=7.57e-04 cost_prev=0.0094 cost_new=0.0094
INFO     |  AL update: snorm=2.3291e-05, csupn=2.3291e-05, max_rho=4.0000e+01
INFO     |  step #7: cost=0.0087 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00077 (avg 0.00077)
INFO     |      - variance_cost(1): 0.00865 (avg 0.00216)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=9.03e-05 cost_prev=0.0094 cost_new=0.0094
INFO     |  AL update: snorm=2.9802e-06, csupn=2.9802e-06, max_rho=4.0000e+01
INFO     |  step #8: cost=0.0087 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00076 (avg 0.00076)
INFO     |      - variance_cost(1): 0.00866 (avg 0.00216)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0087 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00076 (avg 0.00076)
INFO     |      - variance_cost(1): 0.00866 (avg 0.00216)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=3.52e-05 cost_prev=0.0094 cost_new=0.0094
INFO     |  AL update: snorm=2.9802e-06, csupn=2.9802e-06, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0087 criteria=[0 1 0], term_deltas=1.0e-04,2.2e-05,9.3e-05 (solved in 0.0299 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0030e-03, csupn=5.0030e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0087 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.00866 (avg 0.00216)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.42e-02 cost_prev=0.0089 cost_new=0.0079
INFO     |  step #1: cost=0.0063 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00163 (avg 0.00163)
INFO     |      - variance_cost(1): 0.00630 (avg 0.00158)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.70e-05 cost_prev=0.0079 cost_new=0.0079
INFO     |  AL update: snorm=1.2810e-02, csupn=1.2810e-02, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0063 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01026 (avg 0.01026)
INFO     |      - variance_cost(1): 0.00629 (avg 0.00157)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=8.14e-02 cost_prev=0.0166 cost_new=0.0108
INFO     |  step #3: cost=0.0099 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00095 (avg 0.00095)
INFO     |      - variance_cost(1): 0.00989 (avg 0.00247)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.07e-05 cost_prev=0.0108 cost_new=0.0108
INFO     |  AL update: snorm=1.6602e-03, csupn=1.6602e-03, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0099 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00170 (avg 0.00170)
INFO     |      - variance_cost(1): 0.00989 (avg 0.00247)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=6.87e-03 cost_prev=0.0116 cost_new=0.0115
INFO     |  AL update: snorm=2.1569e-04, csupn=2.1569e-04, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0105 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00112 (avg 0.00112)
INFO     |      - variance_cost(1): 0.01047 (avg 0.00262)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.77e-04 cost_prev=0.0116 cost_new=0.0116
INFO     |  AL update: snorm=2.7798e-05, csupn=2.7798e-05, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0105 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00105 (avg 0.00105)
INFO     |      - variance_cost(1): 0.01054 (avg 0.00264)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.28e-04 cost_prev=0.0116 cost_new=0.0116
INFO     |  AL update: snorm=3.5986e-06, csupn=3.5986e-06, max_rho=4.0000e+01
INFO     |  step #7: cost=0.0106 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00105 (avg 0.00105)
INFO     |      - variance_cost(1): 0.01055 (avg 0.00264)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0106 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00105 (avg 0.00105)
INFO     |      - variance_cost(1): 0.01055 (avg 0.00264)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0106 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00105 (avg 0.00105)
INFO     |      - variance_cost(1): 0.01055 (avg 0.00264)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.84e-05 cost_prev=0.0116 cost_new=0.0116
INFO     |  AL update: snorm=3.5986e-06, csupn=3.5986e-06, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0106 criteria=[0 1 0], term_deltas=1.2e-04,1.6e-05,1.1e-04 (solved in 0.0301 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0036e-03, csupn=5.0036e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0106 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.01055 (avg 0.00264)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.73e-02 cost_prev=0.0108 cost_new=0.0093
INFO     |  step #1: cost=0.0072 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00213 (avg 0.00213)
INFO     |      - variance_cost(1): 0.00717 (avg 0.00179)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=7.06e-05 cost_prev=0.0093 cost_new=0.0093
INFO     |  AL update: snorm=1.4673e-02, csupn=1.4673e-02, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0072 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01346 (avg 0.01346)
INFO     |      - variance_cost(1): 0.00715 (avg 0.00179)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=8.88e-02 cost_prev=0.0206 cost_new=0.0131
INFO     |  step #3: cost=0.0119 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00124 (avg 0.00124)
INFO     |      - variance_cost(1): 0.01187 (avg 0.00297)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.42e-05 cost_prev=0.0131 cost_new=0.0131
INFO     |  AL update: snorm=1.9019e-03, csupn=1.9019e-03, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0119 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00223 (avg 0.00223)
INFO     |      - variance_cost(1): 0.01188 (avg 0.00297)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=7.85e-03 cost_prev=0.0141 cost_new=0.0140
INFO     |  AL update: snorm=2.4709e-04, csupn=2.4709e-04, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0126 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00147 (avg 0.00147)
INFO     |      - variance_cost(1): 0.01263 (avg 0.00316)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.04e-03 cost_prev=0.0141 cost_new=0.0141
INFO     |  AL update: snorm=3.1851e-05, csupn=3.1851e-05, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0127 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00138 (avg 0.00138)
INFO     |      - variance_cost(1): 0.01273 (avg 0.00318)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.22e-04 cost_prev=0.0141 cost_new=0.0141
INFO     |  AL update: snorm=4.1127e-06, csupn=4.1127e-06, max_rho=4.0000e+01
INFO     |  step #7: cost=0.0127 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00137 (avg 0.00137)
INFO     |      - variance_cost(1): 0.01275 (avg 0.00319)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.50e-05 cost_prev=0.0141 cost_new=0.0141
INFO     |  AL update: snorm=5.2899e-07, csupn=5.2899e-07, max_rho=4.0000e+01
INFO     |  step #8: cost=0.0127 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00137 (avg 0.00137)
INFO     |      - variance_cost(1): 0.01275 (avg 0.00319)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=5.44e-06 cost_prev=0.0141 cost_new=0.0141
INFO     |  AL update: snorm=7.4506e-08, csupn=7.4506e-08, max_rho=4.0000e+01
INFO     |  step #9: cost=0.0127 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00137 (avg 0.00137)
INFO     |      - variance_cost(1): 0.01275 (avg 0.00319)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.84e-06 cost_prev=0.0141 cost_new=0.0141
INFO     |  AL update: snorm=7.4506e-08, csupn=7.4506e-08, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0127 criteria=[0 1 0], term_deltas=2.5e-06,1.0e-06,2.2e-06 (solved in 0.0324 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0001e-03, csupn=5.0001e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0127 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.01275 (avg 0.00319)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.04e-02 cost_prev=0.0130 cost_new=0.0109
INFO     |  step #1: cost=0.0082 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00271 (avg 0.00271)
INFO     |      - variance_cost(1): 0.00816 (avg 0.00204)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.42e-05 cost_prev=0.0109 cost_new=0.0109
INFO     |  AL update: snorm=1.6535e-02, csupn=1.6535e-02, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0081 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01709 (avg 0.01709)
INFO     |      - variance_cost(1): 0.00813 (avg 0.00203)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |      accepted=True ATb_norm=9.62e-02 cost_prev=0.0252 cost_new=0.0157
INFO     |  step #3: cost=0.0141 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00158 (avg 0.00158)
INFO     |      - variance_cost(1): 0.01413 (avg 0.00353)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.69e-05 cost_prev=0.0157 cost_new=0.0157
INFO     |  AL update: snorm=2.1437e-03, csupn=2.1437e-03, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0141 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00284 (avg 0.00284)
INFO     |      - variance_cost(1): 0.01413 (avg 0.00353)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=8.85e-03 cost_prev=0.0170 cost_new=0.0168
INFO     |  AL update: snorm=2.7851e-04, csupn=2.7851e-04, max_rho=4.0000e+01
INFO     |  step #5: cost=0.0151 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00187 (avg 0.00187)
INFO     |      - variance_cost(1): 0.01509 (avg 0.00377)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.15e-03 cost_prev=0.0170 cost_new=0.0170
INFO     |  AL update: snorm=3.5897e-05, csupn=3.5897e-05, max_rho=4.0000e+01
INFO     |  step #6: cost=0.0152 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00176 (avg 0.00176)
INFO     |      - variance_cost(1): 0.01522 (avg 0.00380)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.60e-04 cost_prev=0.0170 cost_new=0.0170
INFO     |  AL update: snorm=4.6268e-06, csupn=4.6268e-06, max_rho=4.0000e+01
INFO     |  step #7: cost=0.0152 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00174 (avg 0.00174)
INFO     |      - variance_cost(1): 0.01524 (avg 0.00381)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #8: cost=0.0152 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00174 (avg 0.00174)
INFO     |      - variance_cost(1): 0.01524 (avg 0.00381)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #9: cost=0.0152 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00174 (avg 0.00174)
INFO     |      - variance_cost(1): 0.01524 (avg 0.00381)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.35e-05 cost_prev=0.0170 cost_new=0.0170
INFO     |  AL update: snorm=4.6268e-06, csupn=4.6268e-06, max_rho=1.6000e+02
INFO     | Terminated @ iteration #10: cost=0.0152 criteria=[0 1 0], term_deltas=1.4e-04,1.0e-05,1.3e-04 (solved in 0.0301 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0046e-03, csupn=5.0046e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0152 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.01524 (avg 0.00381)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.34e-02 cost_prev=0.0155 cost_new=0.0126
INFO     |  step #1: cost=0.0093 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00335 (avg 0.00335)
INFO     |      - variance_cost(1): 0.00926 (avg 0.00231)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=9.78e-05 cost_prev=0.0126 cost_new=0.0126
INFO     |  AL update: snorm=1.8398e-02, csupn=1.8398e-02, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0092 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02115 (avg 0.02115)
INFO     |      - variance_cost(1): 0.00923 (avg 0.00231)
INFO     |      - augmented_budget_constraint(1): 0.00003 (avg 0.00003)
INFO     |      accepted=True ATb_norm=1.04e-01 cost_prev=0.0304 cost_new=0.0186
INFO     |  step #3: cost=0.0166 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00196 (avg 0.00196)
INFO     |      - variance_cost(1): 0.01665 (avg 0.00416)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.14e-05 cost_prev=0.0186 cost_new=0.0186
INFO     |  AL update: snorm=2.3855e-03, csupn=2.3855e-03, max_rho=4.0000e+01
INFO     |  step #4: cost=0.0167 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00351 (avg 0.00351)
INFO     |      - variance_cost(1): 0.01666 (avg 0.00416)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #5: cost=0.0167 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00351 (avg 0.00351)
INFO     |      - variance_cost(1): 0.01666 (avg 0.00416)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #6: cost=0.0167 lambd=0.0010
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00351 (avg 0.00351)
INFO     |      - variance_cost(1): 0.01666 (avg 0.00416)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #7: cost=0.0167 lambd=0.0160
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00351 (avg 0.00351)
INFO     |      - variance_cost(1): 0.01666 (avg 0.00416)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #8: cost=0.0167 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00351 (avg 0.00351)
INFO     |      - variance_cost(1): 0.01666 (avg 0.00416)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=9.84e-03 cost_prev=0.0202 cost_new=0.0201
INFO     |  AL update: snorm=1.7129e-03, csupn=1.7129e-03, max_rho=1.6000e+02
INFO     |  step #9: cost=0.0170 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00242 (avg 0.00242)
INFO     |      - variance_cost(1): 0.01703 (avg 0.00426)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #10: cost=0.0170 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00242 (avg 0.00242)
INFO     |      - variance_cost(1): 0.01703 (avg 0.00426)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #11: cost=0.0170 lambd=8.1920
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00242 (avg 0.00242)
INFO     |      - variance_cost(1): 0.01703 (avg 0.00426)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=2.48e-02 cost_prev=0.0195 cost_new=0.0194
INFO     |  step #12: cost=0.0171 lambd=4.0960
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00218 (avg 0.00218)
INFO     |      - variance_cost(1): 0.01715 (avg 0.00429)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.44e-02 cost_prev=0.0194 cost_new=0.0193
INFO     |  step #13: cost=0.0172 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00003 (avg 0.00001)
INFO     |      - augmented_return_constraint(1): 0.00206 (avg 0.00206)
INFO     |      - variance_cost(1): 0.01721 (avg 0.00430)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=9.95e-03 cost_prev=0.0193 cost_new=0.0192
INFO     |  AL update: snorm=1.5981e-03, csupn=1.5981e-03, max_rho=6.4000e+02
INFO     |  step #14: cost=0.0173 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00016 (avg 0.00004)
INFO     |      - augmented_return_constraint(1): 0.00289 (avg 0.00289)
INFO     |      - variance_cost(1): 0.01729 (avg 0.00432)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |      accepted=True ATb_norm=4.08e-02 cost_prev=0.0204 cost_new=0.0191
INFO     |  step #15: cost=0.0177 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00004 (avg 0.00001)
INFO     |      - augmented_return_constraint(1): 0.00136 (avg 0.00136)
INFO     |      - variance_cost(1): 0.01771 (avg 0.00443)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=2.15e-02 cost_prev=0.0191 cost_new=0.0186
INFO     |  step #16: cost=0.0181 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00053 (avg 0.00053)
INFO     |      - variance_cost(1): 0.01807 (avg 0.00452)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.54e-03 cost_prev=0.0186 cost_new=0.0185
INFO     |  AL update: snorm=2.2048e-04, csupn=2.2352e-05, max_rho=6.4000e+02
INFO     |  step #17: cost=0.0183 lambd=0.1280
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00011 (avg 0.00011)
INFO     |      - variance_cost(1): 0.01826 (avg 0.00457)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #18: cost=0.0183 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00011 (avg 0.00011)
INFO     |      - variance_cost(1): 0.01826 (avg 0.00457)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #19: cost=0.0183 lambd=4.0960
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00011 (avg 0.00011)
INFO     |      - variance_cost(1): 0.01826 (avg 0.00457)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.45e-03 cost_prev=0.0184 cost_new=0.0184
INFO     |  AL update: snorm=1.9463e-04, csupn=1.9372e-05, max_rho=2.5600e+03
INFO     |  step #20: cost=0.0182 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00004 (avg 0.00004)
INFO     |      - variance_cost(1): 0.01825 (avg 0.00456)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=9.73e-02 cost_prev=0.0183 cost_new=0.0183
INFO     |  step #21: cost=0.0182 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00010 (avg 0.00010)
INFO     |      - variance_cost(1): 0.01816 (avg 0.00454)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.29e-03 cost_prev=0.0183 cost_new=0.0182
INFO     |  AL update: snorm=8.2105e-06, csupn=8.2105e-06, max_rho=2.5600e+03
INFO     |  step #22: cost=0.0181 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00004 (avg 0.00004)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.51e-03 cost_prev=0.0182 cost_new=0.0181
INFO     |  AL update: snorm=4.6939e-06, csupn=4.6939e-06, max_rho=1.0240e+04
INFO     |  step #23: cost=0.0181 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #24: cost=0.0181 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #25: cost=0.0181 lambd=8.1920
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.38e-03 cost_prev=0.0181 cost_new=0.0181
INFO     |  AL update: snorm=7.6106e-05, csupn=7.6106e-05, max_rho=1.0240e+04
INFO     |  step #26: cost=0.0181 lambd=4.0960
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.60e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #27: cost=0.0181 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #28: cost=0.0181 lambd=8.1920
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #29: cost=0.0181 lambd=65.5360
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #30: cost=0.0181 lambd=1048.5760
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #31: cost=0.0181 lambd=33554.4336
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #32: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=8.78e-04 cost_prev=0.0181 cost_new=0.0181
INFO     |  AL update: snorm=3.6359e-06, csupn=3.6359e-06, max_rho=4.0960e+04
INFO     |  step #33: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #34: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #35: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #36: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #37: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #38: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #39: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #40: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #41: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #42: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #43: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #44: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #45: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #46: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #47: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #48: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #49: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #50: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #51: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #52: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #53: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #54: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #55: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #56: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #57: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #58: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #59: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #60: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #61: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #62: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #63: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #64: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #65: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #66: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #67: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #68: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #69: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #70: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #71: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #72: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #73: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #74: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #75: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #76: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #77: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #78: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #79: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #80: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #81: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #82: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #83: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #84: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #85: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #86: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #87: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #88: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #89: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #90: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #91: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #92: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #93: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #94: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #95: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #96: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #97: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #98: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     |  step #99: cost=0.0181 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=1.16e-02 cost_prev=0.0181 cost_new=0.0181
INFO     | Terminated @ iteration #100: cost=0.0181 criteria=[0 0 0], term_deltas=0.0e+00,1.0e-02,2.3e-08 (solved in 0.2794 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0036e-03, csupn=5.0036e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0181 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.01811 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.68e-02 cost_prev=0.0184 cost_new=0.0164
INFO     |  step #1: cost=0.0150 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00138 (avg 0.00138)
INFO     |      - variance_cost(1): 0.01499 (avg 0.00375)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.03e-02 cost_prev=0.0164 cost_new=0.0145
INFO     |  step #2: cost=0.0105 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00409 (avg 0.00409)
INFO     |      - variance_cost(1): 0.01045 (avg 0.00261)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=5.82e-05 cost_prev=0.0145 cost_new=0.0145
INFO     |  AL update: snorm=2.0260e-02, csupn=2.0260e-02, max_rho=4.0000e+01
INFO     |  step #3: cost=0.0104 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02566 (avg 0.02566)
INFO     |      - variance_cost(1): 0.01044 (avg 0.00261)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |  step #4: cost=0.0104 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02566 (avg 0.02566)
INFO     |      - variance_cost(1): 0.01044 (avg 0.00261)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |  step #5: cost=0.0104 lambd=0.0020
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02566 (avg 0.02566)
INFO     |      - variance_cost(1): 0.01044 (avg 0.00261)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |  step #6: cost=0.0104 lambd=0.0320
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02566 (avg 0.02566)
INFO     |      - variance_cost(1): 0.01044 (avg 0.00261)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |      accepted=True ATb_norm=1.11e-01 cost_prev=0.0361 cost_new=0.0223
INFO     |  step #7: cost=0.0181 lambd=0.0160
INFO     |      - augmented_no_short_selling(1): 0.00016 (avg 0.00004)
INFO     |      - augmented_return_constraint(1): 0.00398 (avg 0.00398)
INFO     |      - variance_cost(1): 0.01814 (avg 0.00453)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=4.17e-02 cost_prev=0.0223 cost_new=0.0221
INFO     |  step #8: cost=0.0186 lambd=0.0080
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00350 (avg 0.00350)
INFO     |      - variance_cost(1): 0.01860 (avg 0.00465)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=3.86e-04 cost_prev=0.0221 cost_new=0.0221
INFO     |  AL update: snorm=4.1527e-03, csupn=4.1527e-03, max_rho=4.0000e+01
INFO     |  step #9: cost=0.0187 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00715 (avg 0.00715)
INFO     |      - variance_cost(1): 0.01870 (avg 0.00467)
INFO     |      - augmented_budget_constraint(1): 0.00003 (avg 0.00003)
INFO     |      accepted=True ATb_norm=1.76e-02 cost_prev=0.0259 cost_new=0.0255
INFO     |  step #10: cost=0.0205 lambd=0.0020
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00502 (avg 0.00502)
INFO     |      - variance_cost(1): 0.02046 (avg 0.00512)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |      accepted=True ATb_norm=2.52e-04 cost_prev=0.0255 cost_new=0.0255
INFO     |  AL update: snorm=1.8840e-03, csupn=1.8840e-03, max_rho=1.6000e+02
INFO     |  step #11: cost=0.0205 lambd=0.0010
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00675 (avg 0.00675)
INFO     |      - variance_cost(1): 0.02055 (avg 0.00514)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |      accepted=True ATb_norm=5.19e-02 cost_prev=0.0273 cost_new=0.0272
INFO     |  step #12: cost=0.0215 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00573 (avg 0.00573)
INFO     |      - variance_cost(1): 0.02149 (avg 0.00537)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=4.85e-05 cost_prev=0.0272 cost_new=0.0272
INFO     |  AL update: snorm=8.5890e-04, csupn=8.5890e-04, max_rho=1.6000e+02
INFO     |  step #13: cost=0.0215 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00657 (avg 0.00657)
INFO     |      - variance_cost(1): 0.02150 (avg 0.00538)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.28e-03 cost_prev=0.0281 cost_new=0.0281
INFO     |  AL update: snorm=3.9116e-04, csupn=3.9116e-04, max_rho=1.6000e+02
INFO     |  step #14: cost=0.0220 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00650 (avg 0.00650)
INFO     |      - variance_cost(1): 0.02196 (avg 0.00549)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=5.82e-04 cost_prev=0.0285 cost_new=0.0285
INFO     |  AL update: snorm=1.7658e-04, csupn=1.7658e-04, max_rho=1.6000e+02
INFO     |  step #15: cost=0.0222 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00646 (avg 0.00646)
INFO     |      - variance_cost(1): 0.02217 (avg 0.00554)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=2.55e-04 cost_prev=0.0286 cost_new=0.0286
INFO     |  AL update: snorm=7.9930e-05, csupn=7.9930e-05, max_rho=1.6000e+02
INFO     |  step #16: cost=0.0223 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00644 (avg 0.00644)
INFO     |      - variance_cost(1): 0.02227 (avg 0.00557)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.42e-04 cost_prev=0.0287 cost_new=0.0287
INFO     |  AL update: snorm=3.6210e-05, csupn=3.6210e-05, max_rho=6.4000e+02
INFO     |  step #17: cost=0.0223 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02232 (avg 0.00558)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.17e-03 cost_prev=0.0288 cost_new=0.0288
INFO     |  AL update: snorm=1.6451e-05, csupn=1.6451e-05, max_rho=6.4000e+02
INFO     |  step #18: cost=0.0223 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02234 (avg 0.00558)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.88e-04 cost_prev=0.0288 cost_new=0.0288
INFO     |  AL update: snorm=7.4506e-06, csupn=7.4506e-06, max_rho=2.5600e+03
INFO     |  step #19: cost=0.0223 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02234 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=6.65e-04 cost_prev=0.0288 cost_new=0.0288
INFO     |  AL update: snorm=3.3900e-06, csupn=3.3900e-06, max_rho=2.5600e+03
INFO     |  step #20: cost=0.0223 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #21: cost=0.0223 lambd=0.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #22: cost=0.0223 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #23: cost=0.0223 lambd=0.0051
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #24: cost=0.0223 lambd=0.1638
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00643 (avg 0.00643)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=8.23e-04 cost_prev=0.0288 cost_new=0.0288
INFO     |  AL update: snorm=2.7195e-06, csupn=2.7195e-06, max_rho=2.5600e+03
INFO     |  step #25: cost=0.0223 lambd=0.0819
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #26: cost=0.0223 lambd=0.3277
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #27: cost=0.0223 lambd=2.6214
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #28: cost=0.0223 lambd=41.9430
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #29: cost=0.0223 lambd=1342.1772
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #30: cost=0.0223 lambd=85899.3438
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #31: cost=0.0223 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00161 (avg 0.00161)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=5.50e-04 cost_prev=0.0240 cost_new=0.0240
INFO     |  AL update: snorm=2.7195e-06, csupn=2.7195e-06, max_rho=2.5600e+03
INFO     |  step #32: cost=0.0223 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00041 (avg 0.00041)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=9.78e-04 cost_prev=0.0228 cost_new=0.0228
INFO     |  AL update: snorm=2.7195e-06, csupn=2.7195e-06, max_rho=2.5600e+03
INFO     |  step #33: cost=0.0223 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00010 (avg 0.00010)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.69e-03 cost_prev=0.0225 cost_new=0.0225
INFO     |  AL update: snorm=2.7195e-06, csupn=2.7195e-06, max_rho=1.0240e+04
INFO     |  step #34: cost=0.0223 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00003 (avg 0.00003)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=9.57e-03 cost_prev=0.0224 cost_new=0.0224
INFO     |  AL update: snorm=2.7195e-06, csupn=2.7195e-06, max_rho=4.0960e+04
INFO     |  step #35: cost=0.0223 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00001 (avg 0.00001)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.71e-02 cost_prev=0.0224 cost_new=0.0224
INFO     |  AL update: snorm=2.7120e-06, csupn=2.7120e-06, max_rho=1.6384e+05
INFO     | Terminated @ iteration #36: cost=0.0223 criteria=[1 0 1], term_deltas=0.0e+00,2.2e-02,6.5e-08 (solved in 0.1049 sec)
INFO     | Augmented Lagrangian: initial snorm=5.0027e-03, csupn=5.0027e-03, max_rho=1.0000e+01, constraint_dim=6
INFO     |  step #0: cost=0.0223 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00025 (avg 0.00025)
INFO     |      - variance_cost(1): 0.02235 (avg 0.00559)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=3.11e-02 cost_prev=0.0226 cost_new=0.0177
INFO     |  step #1: cost=0.0153 lambd=0.0003
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00241 (avg 0.00241)
INFO     |      - variance_cost(1): 0.01533 (avg 0.00383)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=7.94e-03 cost_prev=0.0177 cost_new=0.0167
INFO     |  AL update: snorm=2.2089e-02, csupn=2.2089e-02, max_rho=4.0000e+01
INFO     |  step #2: cost=0.0118 lambd=0.0001
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.03049 (avg 0.03049)
INFO     |      - variance_cost(1): 0.01178 (avg 0.00295)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |  step #3: cost=0.0118 lambd=0.0005
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.03049 (avg 0.03049)
INFO     |      - variance_cost(1): 0.01178 (avg 0.00295)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |  step #4: cost=0.0118 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.03049 (avg 0.03049)
INFO     |      - variance_cost(1): 0.01178 (avg 0.00295)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |  step #5: cost=0.0118 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.03049 (avg 0.03049)
INFO     |      - variance_cost(1): 0.01178 (avg 0.00295)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |  step #6: cost=0.0118 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.03049 (avg 0.03049)
INFO     |      - variance_cost(1): 0.01178 (avg 0.00295)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |      accepted=True ATb_norm=1.19e-01 cost_prev=0.0423 cost_new=0.0390
INFO     |  step #7: cost=0.0127 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02617 (avg 0.02617)
INFO     |      - variance_cost(1): 0.01269 (avg 0.00317)
INFO     |      - augmented_budget_constraint(1): 0.00015 (avg 0.00015)
INFO     |      accepted=True ATb_norm=5.62e-02 cost_prev=0.0390 cost_new=0.0345
INFO     |  step #8: cost=0.0142 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.02011 (avg 0.02011)
INFO     |      - variance_cost(1): 0.01425 (avg 0.00356)
INFO     |      - augmented_budget_constraint(1): 0.00011 (avg 0.00011)
INFO     |      accepted=True ATb_norm=4.57e-02 cost_prev=0.0345 cost_new=0.0298
INFO     |  step #9: cost=0.0166 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01311 (avg 0.01311)
INFO     |      - variance_cost(1): 0.01660 (avg 0.00415)
INFO     |      - augmented_budget_constraint(1): 0.00006 (avg 0.00006)
INFO     |  step #10: cost=0.0166 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01311 (avg 0.01311)
INFO     |      - variance_cost(1): 0.01660 (avg 0.00415)
INFO     |      - augmented_budget_constraint(1): 0.00006 (avg 0.00006)
INFO     |      accepted=True ATb_norm=3.13e-02 cost_prev=0.0298 cost_new=0.0284
INFO     |  step #11: cost=0.0176 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01070 (avg 0.01070)
INFO     |      - variance_cost(1): 0.01762 (avg 0.00441)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |  step #12: cost=0.0176 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01070 (avg 0.01070)
INFO     |      - variance_cost(1): 0.01762 (avg 0.00441)
INFO     |      - augmented_budget_constraint(1): 0.00005 (avg 0.00005)
INFO     |      accepted=True ATb_norm=2.54e-02 cost_prev=0.0284 cost_new=0.0278
INFO     |  step #13: cost=0.0181 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00969 (avg 0.00969)
INFO     |      - variance_cost(1): 0.01809 (avg 0.00452)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |  step #14: cost=0.0181 lambd=4.0960
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00969 (avg 0.00969)
INFO     |      - variance_cost(1): 0.01809 (avg 0.00452)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |      accepted=True ATb_norm=2.28e-02 cost_prev=0.0278 cost_new=0.0276
INFO     |  step #15: cost=0.0183 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00924 (avg 0.00924)
INFO     |      - variance_cost(1): 0.01832 (avg 0.00458)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |  step #16: cost=0.0183 lambd=8.1920
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00924 (avg 0.00924)
INFO     |      - variance_cost(1): 0.01832 (avg 0.00458)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |      accepted=True ATb_norm=2.16e-02 cost_prev=0.0276 cost_new=0.0275
INFO     |  step #17: cost=0.0184 lambd=4.0960
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00902 (avg 0.00902)
INFO     |      - variance_cost(1): 0.01843 (avg 0.00461)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |      accepted=True ATb_norm=1.54e-02 cost_prev=0.0275 cost_new=0.0274
INFO     |  step #18: cost=0.0185 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00001)
INFO     |      - augmented_return_constraint(1): 0.00886 (avg 0.00886)
INFO     |      - variance_cost(1): 0.01851 (avg 0.00463)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |      accepted=True ATb_norm=8.99e-03 cost_prev=0.0274 cost_new=0.0274
INFO     |  AL update: snorm=9.2135e-03, csupn=9.2135e-03, max_rho=1.6000e+02
INFO     |  step #19: cost=0.0186 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00019 (avg 0.00005)
INFO     |      - augmented_return_constraint(1): 0.02294 (avg 0.02294)
INFO     |      - variance_cost(1): 0.01862 (avg 0.00465)
INFO     |      - augmented_budget_constraint(1): 0.00019 (avg 0.00019)
INFO     |      accepted=True ATb_norm=2.18e-01 cost_prev=0.0419 cost_new=0.0411
INFO     |  step #20: cost=0.0191 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00004 (avg 0.00001)
INFO     |      - augmented_return_constraint(1): 0.02194 (avg 0.02194)
INFO     |      - variance_cost(1): 0.01905 (avg 0.00476)
INFO     |      - augmented_budget_constraint(1): 0.00004 (avg 0.00004)
INFO     |      accepted=True ATb_norm=1.94e-02 cost_prev=0.0411 cost_new=0.0399
INFO     |  step #21: cost=0.0200 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00003 (avg 0.00001)
INFO     |      - augmented_return_constraint(1): 0.01989 (avg 0.01989)
INFO     |      - variance_cost(1): 0.01996 (avg 0.00499)
INFO     |      - augmented_budget_constraint(1): 0.00003 (avg 0.00003)
INFO     |      accepted=True ATb_norm=1.65e-02 cost_prev=0.0399 cost_new=0.0385
INFO     |  step #22: cost=0.0215 lambd=0.1280
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00001)
INFO     |      - augmented_return_constraint(1): 0.01703 (avg 0.01703)
INFO     |      - variance_cost(1): 0.02145 (avg 0.00536)
INFO     |      - augmented_budget_constraint(1): 0.00003 (avg 0.00003)
INFO     |      accepted=True ATb_norm=1.22e-02 cost_prev=0.0385 cost_new=0.0374
INFO     |  step #23: cost=0.0235 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01395 (avg 0.01395)
INFO     |      - variance_cost(1): 0.02345 (avg 0.00586)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |      accepted=True ATb_norm=7.20e-03 cost_prev=0.0374 cost_new=0.0370
INFO     |  AL update: snorm=2.3049e-03, csupn=2.3049e-03, max_rho=1.6000e+02
INFO     |  step #24: cost=0.0253 lambd=0.0320
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01497 (avg 0.01497)
INFO     |      - variance_cost(1): 0.02532 (avg 0.00633)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |  step #25: cost=0.0253 lambd=0.1280
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.01497 (avg 0.01497)
INFO     |      - variance_cost(1): 0.02532 (avg 0.00633)
INFO     |      - augmented_budget_constraint(1): 0.00002 (avg 0.00002)
INFO     |      accepted=True ATb_norm=6.67e-03 cost_prev=0.0403 cost_new=0.0400
INFO     |  AL update: snorm=1.3046e-03, csupn=1.3046e-03, max_rho=6.4000e+02
INFO     |  step #26: cost=0.0265 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00555 (avg 0.00555)
INFO     |      - variance_cost(1): 0.02655 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #27: cost=0.0265 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00555 (avg 0.00555)
INFO     |      - variance_cost(1): 0.02655 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #28: cost=0.0265 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00555 (avg 0.00555)
INFO     |      - variance_cost(1): 0.02655 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #29: cost=0.0265 lambd=32.7680
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00555 (avg 0.00555)
INFO     |      - variance_cost(1): 0.02655 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.11e-02 cost_prev=0.0321 cost_new=0.0321
INFO     |  step #30: cost=0.0266 lambd=16.3840
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00553 (avg 0.00553)
INFO     |      - variance_cost(1): 0.02656 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |  step #31: cost=0.0266 lambd=65.5360
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00553 (avg 0.00553)
INFO     |      - variance_cost(1): 0.02656 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.09e-02 cost_prev=0.0321 cost_new=0.0321
INFO     |  step #32: cost=0.0266 lambd=32.7680
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00552 (avg 0.00552)
INFO     |      - variance_cost(1): 0.02657 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.54e-02 cost_prev=0.0321 cost_new=0.0321
INFO     |  step #33: cost=0.0266 lambd=16.3840
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00551 (avg 0.00551)
INFO     |      - variance_cost(1): 0.02657 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=5.49e-03 cost_prev=0.0321 cost_new=0.0321
INFO     |  AL update: snorm=1.2778e-03, csupn=1.2778e-03, max_rho=2.5600e+03
INFO     |  step #34: cost=0.0266 lambd=8.1920
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00482 (avg 0.00482)
INFO     |      - variance_cost(1): 0.02658 (avg 0.00664)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=2.37e-02 cost_prev=0.0314 cost_new=0.0313
INFO     |  step #35: cost=0.0266 lambd=4.0960
INFO     |      - augmented_no_short_selling(1): 0.00002 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00468 (avg 0.00468)
INFO     |      - variance_cost(1): 0.02663 (avg 0.00666)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.91e-02 cost_prev=0.0313 cost_new=0.0312
INFO     |  step #36: cost=0.0267 lambd=2.0480
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00442 (avg 0.00442)
INFO     |      - variance_cost(1): 0.02673 (avg 0.00668)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.81e-02 cost_prev=0.0312 cost_new=0.0309
INFO     |  step #37: cost=0.0269 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00397 (avg 0.00397)
INFO     |      - variance_cost(1): 0.02691 (avg 0.00673)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.62e-02 cost_prev=0.0309 cost_new=0.0305
INFO     |  step #38: cost=0.0272 lambd=0.5120
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00329 (avg 0.00329)
INFO     |      - variance_cost(1): 0.02722 (avg 0.00680)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=1.31e-02 cost_prev=0.0305 cost_new=0.0301
INFO     |  step #39: cost=0.0277 lambd=0.2560
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00247 (avg 0.00247)
INFO     |      - variance_cost(1): 0.02766 (avg 0.00692)
INFO     |      - augmented_budget_constraint(1): 0.00001 (avg 0.00001)
INFO     |      accepted=True ATb_norm=8.99e-03 cost_prev=0.0301 cost_new=0.0299
INFO     |  AL update: snorm=1.8053e-04, csupn=1.8053e-04, max_rho=2.5600e+03
INFO     |  step #40: cost=0.0281 lambd=0.1280
INFO     |      - augmented_no_short_selling(1): 0.00001 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00214 (avg 0.00214)
INFO     |      - variance_cost(1): 0.02815 (avg 0.00704)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=6.70e-03 cost_prev=0.0303 cost_new=0.0301
INFO     |  AL update: snorm=1.3799e-04, csupn=3.8743e-06, max_rho=1.0240e+04
INFO     |  step #41: cost=0.0287 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00120 (avg 0.00120)
INFO     |      - variance_cost(1): 0.02867 (avg 0.00717)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=7.39e-02 cost_prev=0.0299 cost_new=0.0299
INFO     |  step #42: cost=0.0287 lambd=0.0320
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00112 (avg 0.00112)
INFO     |      - variance_cost(1): 0.02874 (avg 0.00719)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.08e-04 cost_prev=0.0299 cost_new=0.0299
INFO     |  AL update: snorm=1.9506e-04, csupn=1.3113e-06, max_rho=1.0240e+04
INFO     |  step #43: cost=0.0288 lambd=0.0160
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00080 (avg 0.00080)
INFO     |      - variance_cost(1): 0.02876 (avg 0.00719)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=2.40e-03 cost_prev=0.0296 cost_new=0.0295
INFO     |  AL update: snorm=4.6201e-05, csupn=3.5763e-07, max_rho=1.0240e+04
INFO     |  step #44: cost=0.0285 lambd=0.0080
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00095 (avg 0.00095)
INFO     |      - variance_cost(1): 0.02851 (avg 0.00713)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=1.93e-03 cost_prev=0.0295 cost_new=0.0295
INFO     |  AL update: snorm=3.8743e-07, csupn=3.8743e-07, max_rho=1.0240e+04
INFO     |  step #45: cost=0.0284 lambd=0.0040
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00026 (avg 0.00026)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=True ATb_norm=4.88e-03 cost_prev=0.0287 cost_new=0.0287
INFO     |  AL update: snorm=4.3958e-07, csupn=4.3958e-07, max_rho=4.0960e+04
INFO     |  step #46: cost=0.0284 lambd=0.0020
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #47: cost=0.0284 lambd=0.0080
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #48: cost=0.0284 lambd=0.0640
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #49: cost=0.0284 lambd=1.0240
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #50: cost=0.0284 lambd=32.7680
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #51: cost=0.0284 lambd=2097.1521
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #52: cost=0.0284 lambd=268435.4688
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |  step #53: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #54: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #55: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #56: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #57: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #58: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #59: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #60: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #61: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #62: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #63: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #64: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #65: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #66: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #67: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #68: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #69: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #70: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #71: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #72: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #73: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #74: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #75: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #76: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #77: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #78: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #79: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #80: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #81: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #82: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #83: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #84: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #85: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #86: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #87: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #88: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #89: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #90: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #91: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #92: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #93: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #94: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #95: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #96: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #97: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #98: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     |  step #99: cost=0.0284 lambd=1000000.0000
INFO     |      - augmented_no_short_selling(1): 0.00000 (avg 0.00000)
INFO     |      - augmented_return_constraint(1): 0.00007 (avg 0.00007)
INFO     |      - variance_cost(1): 0.02844 (avg 0.00711)
INFO     |      - augmented_budget_constraint(1): 0.00000 (avg 0.00000)
INFO     |      accepted=False ATb_norm=2.18e-02 cost_prev=0.0285 cost_new=0.0285
INFO     | Terminated @ iteration #100: cost=0.0284 criteria=[0 0 0], term_deltas=0.0e+00,1.1e-02,2.7e-08 (solved in 0.2803 sec)
Computed 15 points on the efficient frontier

How it works: Augmented Lagrangian#

When constraints are present, jaxls uses an Augmented Lagrangian method.

The augmented Lagrangian#

The method adds both a linear term (Lagrange multiplier \(\lambda\)) and a quadratic penalty to the objective:

\[\mathcal{L}(x, \lambda, \rho) = f(x) + \lambda \cdot h(x) + \frac{\rho}{2} h(x)^2\]

The multiplier \(\lambda\) handles steady-state enforcement while the penalty \(\rho\) accelerates convergence.

Multiplier updates#

As the solver runs, it updates the multipliers based on constraint violations:

\[\lambda_{\text{new}} = \lambda + \rho \cdot h(x)\]

For inequality constraints \(g(x) \leq 0\), this is projected to stay non-negative: \(\lambda_{\text{new}} = \max(0, \lambda + \rho \cdot g(x))\).

Updates occur when the cost stabilizes, indicating the current subproblem is solved. The penalty \(\rho\) increases if constraints aren’t improving fast enough.

Advanced: tuning the solver#

For difficult problems, you can tune the Augmented Lagrangian solver via AugmentedLagrangianConfig. The parameters map to the concepts above. Max iterations can be controlled via TerminationConfig:

# Custom configuration example.
al_config = jaxls.AugmentedLagrangianConfig(
    penalty_factor=10.0,  # Multiply rho by this when constraints stagnate.
    penalty_max=1e7,  # Cap on rho to prevent ill-conditioning.
    tolerance_absolute=1e-6,  # Constraint violation tolerance for convergence.
)

# Use with solve(). Max iterations is controlled via TerminationConfig.
solution = problem.solve(
    verbose=False,
    linear_solver="dense_cholesky",
    augmented_lagrangian=al_config,
    termination=jaxls.TerminationConfig(max_iterations=150),
)

print("Solution with custom config:")
for name, w in zip(asset_names, solution[weights_var]):
    print(f"  {name}: {float(w):.1%}")

Solution with custom config:
  Tech: 26.4%
  Healthcare: 17.3%
  Energy: 20.0%
  Bonds: 36.4%

Alternative: manifold reformulation#

Some constraints can be reformulated as manifold optimization via custom retract_fn. For example, the budget constraint (weights sum to 1) and no short-selling constraint (weights non-negative) together define the probability simplex, which is a manifold that can be optimized directly without explicit constraints.

This approach can be more numerically stable when the constraints define a smooth manifold with a simple retraction. See Manifold allocation for an example.

Summary#

Key points for constrained optimization in jaxls:

Use kind="constraint_eq_zero" for equality constraints \(h(x) = 0\)
Use kind="constraint_leq_zero" for upper bounds \(g(x) \leq 0\)
Use kind="constraint_geq_zero" for lower bounds \(g(x) \geq 0\)
Constraints are handled automatically via Augmented Lagrangian
Tune with AugmentedLagrangianConfig if needed

For more constraint examples, see:

Mean-variance allocation: Portfolio optimization with return targets
Inverse kinematics: Position/orientation constraints with joint limits
Obstacle avoidance: Collision avoidance inequalities
Cart-pole (collocation): Dynamics as equality constraints