CSM objective not available in metaheuristic solvers (constrained_objective)

[braverock]

Problem

The constrained_objective() function has an empty switch arm for CSM (Coherent Second Moment) at R/constrained_objective.R:606:

CSM = {}, ## xinran

When a metaheuristic solver (DEoptim, GenSA, pso, random) encounters a CSM risk objective, it silently skips the objective — CSM contributes nothing to the penalty function. The optimizer has no signal to minimize CSM.

Root cause

CSM is defined as an optimization problem itself: CSM(w) = min_zeta { zeta + (1/alpha) * ||max(0, -Rw - zeta)||_2 }. Unlike variance or ES, it cannot be expressed as a closed-form function of moments — computing it requires solving an SOCP.

The extract_risk() function in extractrisk.R already implements this via CVXR. However, calling an SOCP solver for every constrained_objective() evaluation (thousands of times per metaheuristic run) raises performance concerns.

Proposed approach

1. Extract the CSM SOCP computation from extract_risk() into a standalone CSM() function
2. Add fun <- match.fun(CSM) to the switch arm in constrained_objective()
3. Benchmark performance with metaheuristic solvers to assess viability
4. Consider caching/warm-starting strategies if performance is prohibitive

Affected files

• R/constrained_objective.R — empty CSM block (line 606)
• R/extractrisk.R — existing CSM computation via CVXR (lines 44–49)

References

Discovered during optimization solvers vignette work. See plan.md Tier 3 section.