Computes weights to make similar amounts

weightings.lisp

(defun weighting/same (prices)
  "returns integral weights to make similar amounts"
  (labels ((dp (&rest args)
             (let ((ns (mapcar #'round args)))
               (if (> ($sum (mapcar (lambda (n) (if (<= n 0) 1 0)) ns)) 0)
                   most-positive-single-float
                   (let ((vals (mapcar (lambda (price n) (* n price)) prices ns)))
                     (loop :for v :in vals
                           :summing ($sum (mapcar (lambda (u) ($square (- u v))) vals))))))))
    (multiple-value-bind (weights dp)
        (th.pp::nelder-mead #'dp (loop :repeat ($count prices) :collect 1))
      (values (mapcar #'round ($list weights)) (sqrt dp)))))