FICO
FICO Xpress Optimization Examples Repository
FICO Optimization Community FICO Xpress Optimization Home
Back to examples browserPrevious example

Folio - Examples from 'Getting Started'

Description
Different versions of a portfolio optimization problem.

Basic modelling and solving tasks:
  • modeling and solving a small LP problem (foliolp)
  • performing explicit initialization (folioini*)
  • data input from file, index sets (foliodata, requires foliocpplp.dat)
  • modeling and solving a small MIP problem with binary variables (foliomip1)
  • modeling and solving a small MIP problem with semi-continuous variables (foliomip2)
  • modeling and solving QP and MIQP problems (folioqp, requires foliocppqp.dat)
  • modeling and solving QCQP problems (folioqc, requires foliocppqp.dat)
  • heuristic solution of a MIP problem (folioheur)
Advanced modeling and solving tasks:
  • enlarged version of the basic MIP model (foliomip3 with include file readfoliodata.c_, to be used with data set folio10.cdat)
  • defining an integer solution callback (foliocb)
  • using the MIP solution pool (foliosolpool)
  • using the solution enumerator (folioenumsol)
  • handling infeasibility through deviation variables (folioinfeas)
  • retrieving IIS (folioiis)
  • using the built-in infeasibility repair functionality (foliorep)
Further explanation of this example: 'Getting Started with BCL' for the basic modelling and solving tasks; 'Advanced Evaluators Guide' for solution enumeration and infeasibilit handling

xbfoliocpp.zip[download all files]

Source Files

Data Files





foliocpplp.dat

! Data file for `foliodata.cpp'/`foliodata.C'

! Return
"treasury" 	5 
"hardware" 	17 
"theater" 	26 
"telecom" 	12
"brewery" 	8 
"highways" 	9 
"cars" 		7 
"bank" 		6
"software" 	31 
"electronics" 	21

Back to examples browserPrevious example