/********************************************************
 * Xpress-BCL Java Example Problems
 * ================================
 *
 * file foliodata.java
 * ```````````````````
 * Modeling a small LP problem
 * to perform portfolio optimization.
 * -- Data input from file --
 *
 * (c) 2008-2024 Fair Isaac Corporation
 * author: S.Heipcke, 2003, rev. June 2008, rev. Dec. 2011
 ********************************************************/

import com.dashoptimization.*;
import java.io.*;

public class foliodata {
  static final String DATAFILE = System.getProperty("XPRBDATA") + "/GS/foliocpplp.dat";

  static final int NSHARES = 10; /* Number of shares */
  static final int NRISK = 5; /* Number of high-risk shares */
  static final int NNA = 4; /* Number of North-American shares */

  static double[] RET; /* Estimated return in investment  */
  static final String[] RISK = {
    "hardware", "theater", "telecom", "software", "electronics"
  }; /* High-risk values among shares */
  static final String[] NA = {"treasury", "hardware", "theater", "telecom"};
  /* Shares issued in N.-America */

  static final String[] LPSTATUS = {
    "not loaded",
    "optimal",
    "infeasible",
    "worse than cutoff",
    "unfinished",
    "unbounded",
    "cutoff in dual",
    "unsolved",
    "nonconvex"
  };

  static XPRBindexSet SHARES; /* Set of shares */

  private static void readData(XPRBprob p) throws IOException {
    int s;
    FileReader datafile = null;
    StreamTokenizer st = null;

    SHARES = p.newIndexSet("Shares", NSHARES); /* Create the `SHARES' index set */
    RET = new double[NSHARES];

    /* Read `RET' data from file */
    datafile = new FileReader(DATAFILE); /* Open the data file */
    st = new StreamTokenizer(datafile); /* Initialize the stream tokenizer */
    st.commentChar('!'); /* Use the character '!' for comments */
    st.eolIsSignificant(true); /* Return end-of-line character */
    st.parseNumbers(); /* Read numbers as numbers (not strings) */

    do {
        /* Read data file and fill the index sets */
      do {
        st.nextToken();
      } while (st.ttype == st.TT_EOL); /* Skip empty lines and comment lines */
      if (st.ttype != st.TT_WORD && st.ttype != '"') break;
      s = SHARES.addElement(st.sval);
      if (st.nextToken() != st.TT_NUMBER) break;
      RET[s] = st.nval;
    } while (st.nextToken() == st.TT_EOL);

    datafile.close();

    SHARES.print(); /* Print out the set contents */
  }

  public static void main(String[] args) throws Exception {
    try (XPRBprob p = new XPRBprob("FolioLP"); /* Initialize BCL and create a new problem */
        XPRBexprContext context =
            new XPRBexprContext() /* Release XPRBexpr instances at end of block. */) {
      int s;
      XPRBexpr Risk, Na, Return, Cap;
      XPRBvar[] frac; /* Fraction of capital used per share */

      readData(p); /* Read data from file */

      /* Create the decision variables */
      frac = new XPRBvar[NSHARES];
      for (s = 0; s < NSHARES; s++) frac[s] = p.newVar("frac");

      /* Objective: total return */
      Return = new XPRBexpr();
      for (s = 0; s < NSHARES; s++) Return.add(frac[s].mul(RET[s]));
      p.setObj(Return); /* Set the objective function */

      /* Limit the percentage of high-risk values */
      Risk = new XPRBexpr();
      for (s = 0; s < NRISK; s++) Risk.add(frac[SHARES.getIndex(RISK[s])]);
      p.newCtr("Risk", Risk.lEql(1.0 / 3));

      /* Minimum amount of North-American values */
      Na = new XPRBexpr();
      for (s = 0; s < NNA; s++) Na.add(frac[SHARES.getIndex(NA[s])]);
      p.newCtr("NA", Na.gEql(0.5));

      /* Spend all the capital */
      Cap = new XPRBexpr();
      for (s = 0; s < NSHARES; s++) Cap.add(frac[s]);
      p.newCtr(Cap.eql(1));

      /* Upper bounds on the investment per share */
      for (s = 0; s < NSHARES; s++) frac[s].setUB(0.3);

      /* Solve the problem */
      p.setSense(XPRB.MAXIM);
      p.lpOptimize("");

      System.out.println("Problem status: " + LPSTATUS[p.getLPStat()]);

      /* Solution printing */
      System.out.println("Total return: " + p.getObjVal());
      for (s = 0; s < NSHARES; s++)
        System.out.println(/*SHARES.getIndexName(s) +*/ ": " + frac[s].getSol() * 100 + "%");
    }
  }
}