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Folio - Advanced modelling and solving tasks Description Advanced modelling and solving tasks for a portfolio optimization problem:
Source Files By clicking on a file name, a preview is opened at the bottom of this page. Data Files
runfoliopardistr.mos (!****************************************************** Mosel Example Problems ====================== file runfoliopardistr.mos ````````````````````````` Main 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("<html>") writeln("<head>") writeln("<style type='text/css'>") writeln("body {font-family: Verdana, Geneva, Helvetica, Arial, sans-serif; color: 000055 }") writeln("table td {background-color: ffffaa; text-align: left }") writeln("table th {background-color: 053055; color: ffcc88}") writeln("</style>") writeln("</head>") writeln("<body>") writeln("<center><h2>Portfolio Optimization Summary Results</h2></center>") writeln("<table width='100%' cellpadding='5' cellspacing='0' border=0>") writeln("<tr><td width='55%'><font color='#000055'><b> </b></font></td><td><font color='#885533'><b>Problem data: ", INPUTFILE,"</b></font></td></tr>") writeln("<tr><td><font color='#000055'><b> </b></font></td><td><font color='#885533'><b>Date: ", datetime(SYS_NOW),"</b></font></td></tr>") writeln("<tr><td colspan='2'> </td></tr>") writeln("</table>") writeln("<table cellpadding='2' cellspacing='1' width='100%'>") writeln("<tr><th>Instance</th><th>Return</th><th>No. shares</th><th>Value: Percentage</th></tr>") end-procedure procedure write_html_line(i:integer) write("<tr><td><center>", i, "</center></td><td>", returnsol, "</td><td><center>", numsharessol, "</center></td><td>") writeln("<table cellpadding='2' cellspacing='0' width='100%'>") ct:=0 forall(s in SHARES | fracsol(s)>0) do ct+=1 writeln(if(ct mod 4=1, "<tr>", ""), "<td><font size='-1'>", s, ": ", strfmt(fracsol(s)*100,4,2), "%,</font></td>", if(ct mod 4=0, "</tr>", "")) end-do writeln(if(ct mod 4<>0, "</tr>", ""), "</table></td></tr>") end-procedure procedure write_html_line(i:integer,msg:string) writeln("<tr><td><center>", i, "</center></td><td align='left' colspan='3'>", msg, "</td></tr>") end-procedure procedure write_html_footer writeln("<tr><th>Average</th><th>", totalreturn/totalopt, "</th><th>", totalnum/totalopt, "</th><th></th></tr>") writeln("</table>") writeln("</body>") writeln("</html>") fclose(F_OUTPUT) end-procedure end-model | |||||||||||||||||||||||||
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