Function quasi_diagonalization

crates/openquant/src/hcaa.rs:337–351

(
    num_assets: usize,
    clusters: &[[usize; 2]],
    curr_index: usize,
)

fn cluster_variance(cov: &DMatrix<f64>, indices: &[usize]) -> Result<f64, HcaaError> {
    let w = inverse_variance_weights(cov, indices)?;
    let mut v = 0.0;
    for (ii, &i) in indices.iter().enumerate() {
        for (jj, &j) in indices.iter().enumerate() {
            v += w[ii] * cov[(i, j)] * w[jj];
        }
    }
    Ok(v.max(0.0))
}

fn cluster_sharpe(
    expected: &[f64],
    cov: &DMatrix<f64>,
    indices: &[usize],
) -> Result<f64, HcaaError> {
    let w = inverse_variance_weights(cov, indices)?;
    let mut mu = 0.0;
    for (ii, &i) in indices.iter().enumerate() {