Handling inner loops with Ray

Ray Core
1

Hi,

is there a way Ray can help handle inner loops?

For example, I this code:

models = ['HRP', 'HERC', 'HERC2']
    
    codependences = ['pearson', 'spearman', 'abs_pearson', 
                    'abs_spearman', 'distance', 
                    'mutual_info', 'tail' ]
    
    covariances= ['hist', 'ewma1', 'ewma2', 'ledoit', 
                  'oas', 'shrunk' ]
    
    linkages =  ['single',  'complete', 'average',  
                 'weighted', 
                'centroid','median','ward','DBHT']

    # risk objectives 
    risk_measures = [ 'vol',    # Standard Deviation
                     'MV',     # Variance 
                     'MSV',    # Semi-Deviation 
                     'FLPM',   # Omega Ratio  
                     'SLPM',   # Sortino Ratio
                     'VaR',    # Value-at-Risk 
                     'MDD',    # Calmar Ratio   
                     'UCI_Rel'] # Ucler Index  
                       
    
    port = rp.HCPortfolio(returns=returns_training)
    
    w_s = pd.DataFrame([])
    for model in models:
        for cond in codependences:
            for cov in covariances:
                for linkage in linkages: 
                    for risk_measure in risk_measures:
                            w = port.optimization(model=model,
                                              codependence=cond,
                                              rm=risk_measure,
                                              rf=rf,
                                              covariance=cov,
                                              linkage=linkage,
                                              leaf_order=True)
                            
                            w.columns = ['portf_' + model + '_' + risk_measure]
                            w_s = pd.concat([w_s, w], axis=1)

Can Ray be of any help?