void CostCalculator_eigen::calculateCost(const real_1d_array &xWeight, double &func, real_1d_array &grad) {
for (int i = 0; i < variableNumber_; ++i) xReal_(i) = xWeight[i];
// risk grad
VectorXd riskGrad = varMatrix_ * xReal_;
// weight change
VectorXd weightChange = xReal_ - currentWeight_;
func = 0.5 * xReal_.dot(riskGrad) + weightChange.cwiseAbs().dot(tradingCost_) - expectReturn_.dot(xReal_);
VectorXd tmp = riskGrad + weightChange.cwiseSign().cwiseProduct(tradingCost_) - expectReturn_;
for (int i = 0; i < variableNumber_; ++i) grad(i) = tmp(i);
}
