/********************************************************
  Xpress BCL C++ Example Problems
  ===============================

  file foliolp.cpp
  ````````````````
  Modeling a small LP problem 
  to perform portfolio optimization.

  (c) 2008 Fair Isaac Corporation
      author: S.Heipcke, Aug. 2003, rev. Mar. 2011
********************************************************/

#include <iostream>
#include "xprb_cpp.h"

using namespace std;
using namespace ::dashoptimization;

#define NSHARES 10                   // Number of shares
#define NRISK 5                      // Number of high-risk shares
#define NNA 4                        // Number of North-American shares

double RET[] = {5,17,26,12,8,9,7,6,31,21};  // Estimated return in investment
int RISK[] = {1,2,3,8,9};            // High-risk values among shares
int NA[] = {0,1,2,3};                // Shares issued in N.-America

int main(int argc, char **argv)
{
 int s;
 XPRBprob p("FolioLP");              // Initialize a new problem in BCL
 XPRBexpr Risk,Na,Return,Cap;
 XPRBvar frac[NSHARES];              // Fraction of capital used per share

// Create the decision variables
 for(s=0;s<NSHARES;s++) frac[s] = p.newVar("frac");  //, XPRB_PL, 0, 0.3);
 
// Objective: total return
 for(s=0;s<NSHARES;s++) Return += RET[s]*frac[s]; 
 p.setObj(Return);                   // Set the objective function

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

/* Equivalent:
 XPRBctr CRisk;
 CRisk = p.newCtr("Risk");
 for(s=0;s<NRISK;s++) CRisk.addTerm(frac[RISK[s]], 1);
 CRisk.setType(XPRB_L);
 CRisk.addTerm(1.0/3);
*/

// Minimum amount of North-American values
 for(s=0;s<NNA;s++) Na += frac[NA[s]]; 
 p.newCtr("NA", Na >= 0.5);

// Spend all the capital
 for(s=0;s<NSHARES;s++) Cap += frac[s]; 
 p.newCtr("Cap", Cap == 1);
 
// Upper bounds on the investment per share
 for(s=0;s<NSHARES;s++) frac[s].setUB(0.3);

// Export matrix to a file
/* p.exportProb(XPRB_MPS, "Folio");
 p.setSense(XPRB_MAXIM);
 p.exportProb(XPRB_LP, "Folio");
*/

// Disable all BCL and Optimizer message printing, except error messages
// p.setMsgLevel(1);

// Solve the problem
 p.setSense(XPRB_MAXIM);
 p.lpOptimize("");

 char *LPSTATUS[] = {"not loaded", "optimal", "infeasible", 
          "worse than cutoff", "unfinished", "unbounded", "cutoff in dual",
	  "unsolved", "nonconvex"};
 
 cout << "Problem status: " << LPSTATUS[p.getLPStat()] << endl;
 
// Solution printing
 cout << "Total return: " << p.getObjVal() << endl;
 for(s=0;s<NSHARES;s++) 
  cout << s << ": " << frac[s].getSol()*100 << "%" << endl;  

 return 0;
}