shock: defining new lab environment and formulation

lab/outlet/objectives/factory.py

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+"""
+Factory functions for creating objectives.
+
+Provides:
+- make_objective: Create single objective by name
+- make_composite: Create weighted combination of objectives
+- retail_objective: Default objective for retail pricing
+- market_making_objective: Default objective for market making
+"""
+from __future__ import annotations
+from .base import BaseObjective, CompositeObjective
+from .penalties import (PnLObjective, VolatilityPenalty, HoldingCostPenalty,
+                        LostOpportunityCostPenalty, InventoryRiskPenalty, SpreadCaptureReward)
+
+REGISTRY: dict[str, type[BaseObjective]] = {
+    'pnl': PnLObjective,
+    'volatility': VolatilityPenalty,
+    'holding_cost': HoldingCostPenalty,
+    'lost_opportunity': LostOpportunityCostPenalty,
+    'inventory_risk': InventoryRiskPenalty,
+    'spread_capture': SpreadCaptureReward,
+}
+
+def make_objective(name: str, **kwargs) -> BaseObjective:
+    """Create an objective by name.
+
+    Args:
+        name: Objective name (pnl, volatility, holding_cost, lost_opportunity,
+              inventory_risk, spread_capture)
+        **kwargs: Passed to objective constructor
+
+    Returns:
+        Instantiated objective
+    """
+    if name not in REGISTRY:
+        raise ValueError(f"Unknown objective: {name}. Available: {list(REGISTRY.keys())}")
+    return REGISTRY[name](**kwargs)
+
+def make_composite(spec: list[tuple[str, float, dict]] | dict[str, float]) -> CompositeObjective:
+    """Create composite objective from specification.
+
+    Args:
+        spec: Either:
+            - list of (name, weight, kwargs) tuples for full control
+            - dict of {name: weight} for simple cases
+
+    Returns:
+        CompositeObjective with specified components
+    """
+    objectives = []
+    if isinstance(spec, dict):
+        for name, weight in spec.items():
+            objectives.append((make_objective(name), weight))
+    else:
+        for name, weight, kwargs in spec:
+            objectives.append((make_objective(name, **kwargs), weight))
+    return CompositeObjective(objectives)
+
+def retail_objective(volatility_weight: float = 0.1, holding_weight: float = 0.5,
+                     stockout_weight: float = 0.3) -> CompositeObjective:
+    """Default objective for retail dynamic pricing.
+
+    Reward = PnL - volatility_weight*volatility - holding_weight*holding_cost
+             - stockout_weight*lost_opportunity
+    """
+    return make_composite({
+        'pnl': 1.0,
+        'volatility': volatility_weight,
+        'holding_cost': holding_weight,
+        'lost_opportunity': stockout_weight,
+    })
+
+def market_making_objective(gamma: float = 0.1, sigma: float = 1.0) -> CompositeObjective:
+    """Default objective for market making.
+
+    Reward = PnL + 0.5*spread_capture - inventory_risk(gamma, sigma)
+    """
+    return CompositeObjective([
+        (PnLObjective(), 1.0),
+        (SpreadCaptureReward(), 0.5),
+        (InventoryRiskPenalty(gamma=gamma, sigma=sigma), 1.0),
+    ])