(!****************************************************** Mosel Example Problems ====================== file runfoliopardistr.mos ````````````````````````` Master model running several instances of the portfolio optimization model in parallel using several Mosel instances (distribute architecture). Runs model foliomemio.mos. *** ATTENTION: This model will return an error if *** *** no more than one Xpress licence is available. *** *** With a single license, use setting NUMPAR=1 *** (c) 2010 Fair Isaac Corporation author: S.Heipcke, July 2010, rev. Dec. 2017 *******************************************************!) model "Run portfolio optimization model (distributed parallel)" uses "mmjobs" ! Use multiple model handling uses "mmsystem", "mmxprs" parameters MODELFILE = "foliomemio" ! Optimization model INPUTFILE = "folio10.dat" ! File with problem data MAXRISK = 1/3 ! Max. investment into high-risk values MINREG = 0.2 ! Min. investment per geogr. region MAXREG = 0.5 ! Max. investment per geogr. region MAXSEC = 0.25 ! Max. investment per ind. sector MAXVAL = 0.2 ! Max. investment per share MINVAL = 0.1 ! Min. investment per share MAXNUM = 9 ! Max. number of different assets NUMPAR = 5 ! Number of model instances to run end-parameters forward procedure write_html_header forward procedure write_html_line(i:integer) forward procedure write_html_line(i:integer,msg:string) forward procedure write_html_footer declarations SHARES: set of string ! Set of shares returnsol,totalreturn: real ! Solution values numsharessol,status,totalnum,totalopt: integer fracsol: dynamic array(SHARES) of real ! Fraction of capital used per share buysol: dynamic array(SHARES) of real ! 1 if asset is in portfolio, 0 otherwise foliomod: dynamic array(Instances:range) of Model ! Mosel models moselinst: dynamic array(Instances) of Mosel ! Mosel instances end-declarations ! Compile the optimization model if compile(MODELFILE+".mos") <> 0 then writeln("Error during model compilation") exit(1) end-if ! Start remote Mosel instances: ! "" stands for the node running this model; try IP addresses or host names forall(i in 1..NUMPAR) do create(moselinst(i)) if connect(moselinst(i), "")<>0 then exit(2); end-if end-do ! Load several instances of the optimization model forall(i in 1..NUMPAR) do create(foliomod(i)) load(moselinst(i), foliomod(i), "rmt:"+MODELFILE+".bim") end-do fdelete(MODELFILE+".bim") ! Start all instances in parallel, using unique file names for output forall(i in Instances) run(foliomod(i), "MAXRISK=" + MAXRISK + ",MINREG=" + MINREG + ",MAXREG=" + MAXREG + ",MAXSEC=" + MAXSEC + ",MAXVAL=" + MAXVAL + ",MINVAL=" + MINVAL + ",MAXNUM=" + (MAXNUM-i) + ",DATAFILE='rmt:" + INPUTFILE + "',OUTPUTFILE='rmt:solout" + i + ".dat"+ "',FRACSOL='FRAC" + i + "',BUYSOL='BUY" + i + "',NUMSHARES='NUMSHARES" + i + "',RETSOL='RETSOL" + i + "',SOLSTATUS='SOLSTATUS" + i + "'" ) ! Wait until all models have finished ! (alternatively: could retrieve results as soon as a run finishes) forall(i in Instances) do wait ! Wait for model terminations dropnextevent ! Ignore termination event message end-do ! Output: generate an HTML page with all solutions write_html_header forall(i in Instances) do forall(s in SHARES) do fracsol(s):=0; buysol(s):=0 end-do OFile:="solout"+i+".dat" initializations from OFile returnsol as 'RETSOL'+i numsharessol as 'NUMSHARES'+i fracsol as 'FRAC'+i buysol as 'BUY'+i status as 'SOLSTATUS'+i end-initializations fdelete(OFile) case status of XPRS_OPT: do write_html_line(i) totalreturn+=returnsol totalnum+=numsharessol totalopt+=1 end-do XPRS_UNF: write_html_line(i,"Problem solving unfinished") XPRS_INF: write_html_line(i,"Problem is infeasible") XPRS_UNB,XPRS_OTH: write_html_line(i,"No solution available") end-case end-do write_html_footer ! *********** Writing an HTML result file *********** procedure write_html_header setparam("datetimefmt", "%0d-%N-%y, %0H:%0M:%0S") HTMLFILE:= INPUTFILE + "_sol.html" fopen(HTMLFILE, F_OUTPUT) writeln("") writeln("") writeln("") writeln("") writeln("") writeln("

Portfolio Optimization Summary Results

") writeln("") writeln("") writeln("") writeln("") writeln("
Problem data: ", INPUTFILE,"
Date: ", datetime(SYS_NOW),"
 
") writeln("") writeln("") end-procedure procedure write_html_line(i:integer) write("") end-procedure procedure write_html_line(i:integer,msg:string) writeln("") end-procedure procedure write_html_footer writeln("") writeln("
InstanceReturnNo. sharesValue: Percentage
", i, "
", returnsol, "
", numsharessol, "
") writeln("") ct:=0 forall(s in SHARES | fracsol(s)>0) do ct+=1 writeln(if(ct mod 4=1, "", ""), "", if(ct mod 4=0, "", "")) end-do writeln(if(ct mod 4<>0, "", ""), "
", s, ": ", strfmt(fracsol(s)*100,4,2), "%,
", i, "
", msg, "
Average", totalreturn/totalopt, "", totalnum/totalopt, "
") writeln("") writeln("") fclose(F_OUTPUT) end-procedure end-model