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Folio - Embedding examples from 'Getting started' Description Simple embedding 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 runfolio.cs
/*******************************************************
Mosel Example Problems
======================
file runfolio.cs
````````````````
Running a Mosel model from a .NET application
with data exchange between model and host application.
(Sparse data format using string indices)
(c) 2009 Fair Isaac Corporation
author: J. Farmer, Jun. 2009, rev. May. 2021
********************************************************/
using System;
using System.IO;
using Mosel;
namespace mosel_getting_started {
public class runfolio
{
// Classes to store initial values for data
public class MyArrayTwo
{
public string ind1,ind2; // index names
public bool val; // data value
public MyArrayTwo(string i1, string i2, bool v)
{ ind1=i1; ind2=i2; val=v; }
public MyArrayTwo(string i1, string i2, int v)
{ ind1=i1; ind2=i2; val=(v==1); }
}
public class MyArrayOne
{
public string ind; // index name
public double val; // data value
public MyArrayOne(string i, double v)
{ ind=i; val=v; }
}
// Class to receive solution values of decision variables
public class MySolArray
{
public string ind; // index name
public double val; // solution value
}
// Class with scalar solution information
// (scalars cannot be passed directly)
public class MySol
{
public double objval; // objective function value
public int numshares; // number of shares in solution
public int status; // problem status
}
public static void Main(string[] args)
{
XPRM mosel;
XPRMModel mod;
// Model parameter settings
double maxrisk = 1.0/3;
double minreg = 0.2;
double maxreg = 0.5;
double maxsec = 0.25;
double maxval = 0.2;
double minval = 0.1;
int maxnum = 15;
// Data for 'initializations from' (input data values)
string[] riskset = new string[] {"hardware1", "hardware2", "hardware3", "hardware4",
"hardware5", "hardware6", "hardware7", "hardware8", "hardware9",
"hardware10", "theater1", "theater2", "theater3", "theater4", "theater5",
"theater6", "theater7", "theater8", "theater9", "theater10", "telecom1",
"telecom2", "telecom3", "telecom4", "telecom5", "telecom6", "telecom7",
"telecom8", "telecom9", "telecom10", "software1", "software2", "software3",
"software4", "software5", "software6", "software7", "software8",
"software9", "software10", "electronics1", "electronics2", "electronics3",
"electronics4", "electronics5", "electronics6", "electronics7",
"electronics8", "electronics9", "electronics10"};
MyArrayTwo[] locdata = new MyArrayTwo[] {new MyArrayTwo("EU","treasury1",1),
new MyArrayTwo("EU","treasury10",1), new MyArrayTwo("EU","hardware7",1),
new MyArrayTwo("EU","hardware9",1), new MyArrayTwo("EU","theater8",1),
new MyArrayTwo("EU","theater10",1), new MyArrayTwo("EU","telecom3",1),
new MyArrayTwo("EU","telecom9",1), new MyArrayTwo("EU","telecom10",1),
new MyArrayTwo("EU","brewery1",1), new MyArrayTwo("EU","brewery4",1),
new MyArrayTwo("EU","brewery6",1), new MyArrayTwo("EU","brewery7",1),
new MyArrayTwo("EU","brewery8",1), new MyArrayTwo("EU","highways2",1),
new MyArrayTwo("EU","highways5",1), new MyArrayTwo("EU","highways7",1),
new MyArrayTwo("EU","highways10",1), new MyArrayTwo("EU","cars4",1),
new MyArrayTwo("EU","cars7",1), new MyArrayTwo("EU","cars8",1),
new MyArrayTwo("EU","cars9",1), new MyArrayTwo("EU","cars10",1),
new MyArrayTwo("EU","bank1",1), new MyArrayTwo("EU","bank3",1),
new MyArrayTwo("EU","bank5",1), new MyArrayTwo("EU","bank6",1),
new MyArrayTwo("EU","bank7",1), new MyArrayTwo("EU","bank10",1),
new MyArrayTwo("EU","software3",1), new MyArrayTwo("EU","software4",1),
new MyArrayTwo("EU","software5",1), new MyArrayTwo("EU","software6",1),
new MyArrayTwo("EU","electronics2",1), new MyArrayTwo("NA","treasury2",1),
new MyArrayTwo("NA","treasury6",1), new MyArrayTwo("NA","treasury7",1),
new MyArrayTwo("NA","treasury8",1), new MyArrayTwo("NA","hardware4",1),
new MyArrayTwo("NA","hardware6",1), new MyArrayTwo("NA","theater1",1),
new MyArrayTwo("NA","theater3",1), new MyArrayTwo("NA","theater7",1),
new MyArrayTwo("NA","theater9",1), new MyArrayTwo("NA","telecom2",1),
new MyArrayTwo("NA","telecom4",1), new MyArrayTwo("NA","telecom8",1),
new MyArrayTwo("NA","highways3",1), new MyArrayTwo("NA","highways4",1),
new MyArrayTwo("NA","cars5",1), new MyArrayTwo("NA","cars6",1),
new MyArrayTwo("NA","bank2",1), new MyArrayTwo("NA","bank4",1),
new MyArrayTwo("NA","bank8",1), new MyArrayTwo("NA","bank9",1),
new MyArrayTwo("NA","software1",1), new MyArrayTwo("NA","software2",1),
new MyArrayTwo("NA","software9",1), new MyArrayTwo("NA","electronics3",1),
new MyArrayTwo("NA","electronics5",1), new MyArrayTwo("NA","electronics6",1),
new MyArrayTwo("NA","electronics8",1), new MyArrayTwo("NA","electronics9",1),
new MyArrayTwo("NA","electronics10",1), new MyArrayTwo("APAC","treasury4",1),
new MyArrayTwo("APAC","treasury5",1), new MyArrayTwo("APAC","treasury9",1),
new MyArrayTwo("APAC","hardware1",1), new MyArrayTwo("APAC","hardware2",1),
new MyArrayTwo("APAC","hardware5",1), new MyArrayTwo("APAC","hardware8",1),
new MyArrayTwo("APAC","hardware10",1), new MyArrayTwo("APAC","theater2",1),
new MyArrayTwo("APAC","theater4",1), new MyArrayTwo("APAC","telecom1",1),
new MyArrayTwo("APAC","telecom5",1), new MyArrayTwo("APAC","telecom6",1),
new MyArrayTwo("APAC","telecom7",1), new MyArrayTwo("APAC","brewery9",1),
new MyArrayTwo("APAC","brewery10",1), new MyArrayTwo("APAC","highways8",1),
new MyArrayTwo("APAC","cars1",1), new MyArrayTwo("APAC","cars2",1),
new MyArrayTwo("APAC","software7",1), new MyArrayTwo("APAC","software8",1),
new MyArrayTwo("APAC","software10",1),
new MyArrayTwo("APAC","electronics1",1),
new MyArrayTwo("APAC","electronics4",1),
new MyArrayTwo("APAC","electronics7",1)};
MyArrayTwo[] secdata = new MyArrayTwo[] {new MyArrayTwo("bonds","treasury1",1),
new MyArrayTwo("bonds","treasury10",1),
new MyArrayTwo("bonds","treasury2",1),
new MyArrayTwo("bonds","treasury6",1),
new MyArrayTwo("bonds","treasury7",1),
new MyArrayTwo("bonds","treasury8",1),
new MyArrayTwo("bonds","treasury4",1),
new MyArrayTwo("bonds","treasury5",1),
new MyArrayTwo("bonds","treasury9",1),
new MyArrayTwo("bonds","treasury3",1),
new MyArrayTwo("technology","hardware7",1),
new MyArrayTwo("technology","hardware9",1),
new MyArrayTwo("technology","software3",1),
new MyArrayTwo("technology","software4",1),
new MyArrayTwo("technology","software5",1),
new MyArrayTwo("technology","software6",1),
new MyArrayTwo("technology","electronics2",1),
new MyArrayTwo("technology","hardware4",1),
new MyArrayTwo("technology","hardware6",1),
new MyArrayTwo("technology","software1",1),
new MyArrayTwo("technology","software2",1),
new MyArrayTwo("technology","software9",1),
new MyArrayTwo("technology","electronics3",1),
new MyArrayTwo("technology","electronics5",1),
new MyArrayTwo("technology","electronics6",1),
new MyArrayTwo("technology","electronics8",1),
new MyArrayTwo("technology","electronics9",1),
new MyArrayTwo("technology","electronics10",1),
new MyArrayTwo("technology","hardware1",1),
new MyArrayTwo("technology","hardware2",1),
new MyArrayTwo("technology","hardware5",1),
new MyArrayTwo("technology","hardware8",1),
new MyArrayTwo("technology","hardware10",1),
new MyArrayTwo("technology","software7",1),
new MyArrayTwo("technology","software8",1),
new MyArrayTwo("technology","software10",1),
new MyArrayTwo("technology","electronics1",1),
new MyArrayTwo("technology","electronics4",1),
new MyArrayTwo("technology","electronics7",1),
new MyArrayTwo("technology","hardware3",1),
new MyArrayTwo("entertainment","theater8",1),
new MyArrayTwo("entertainment","theater10",1),
new MyArrayTwo("entertainment","theater1",1),
new MyArrayTwo("entertainment","theater3",1),
new MyArrayTwo("entertainment","theater7",1),
new MyArrayTwo("entertainment","theater9",1),
new MyArrayTwo("entertainment","theater2",1),
new MyArrayTwo("entertainment","theater4",1),
new MyArrayTwo("entertainment","theater5",1),
new MyArrayTwo("entertainment","theater6",1),
new MyArrayTwo("telecom","telecom3",1),
new MyArrayTwo("telecom","telecom9",1),
new MyArrayTwo("telecom","telecom10",1),
new MyArrayTwo("telecom","telecom2",1),
new MyArrayTwo("telecom","telecom4",1),
new MyArrayTwo("telecom","telecom8",1),
new MyArrayTwo("telecom","telecom1",1),
new MyArrayTwo("telecom","telecom5",1),
new MyArrayTwo("telecom","telecom6",1),
new MyArrayTwo("telecom","telecom7",1),
new MyArrayTwo("food","brewery1",1), new MyArrayTwo("food","brewery4",1),
new MyArrayTwo("food","brewery6",1), new MyArrayTwo("food","brewery7",1),
new MyArrayTwo("food","brewery8",1), new MyArrayTwo("food","brewery9",1),
new MyArrayTwo("food","brewery10",1), new MyArrayTwo("food","brewery2",1),
new MyArrayTwo("food","brewery3",1), new MyArrayTwo("food","brewery5",1),
new MyArrayTwo("construction","highways2",1),
new MyArrayTwo("construction","highways5",1),
new MyArrayTwo("construction","highways7",1),
new MyArrayTwo("construction","highways10",1),
new MyArrayTwo("construction","highways3",1),
new MyArrayTwo("construction","highways4",1),
new MyArrayTwo("construction","highways8",1),
new MyArrayTwo("construction","highways1",1),
new MyArrayTwo("construction","highways6",1),
new MyArrayTwo("construction","highways9",1),
new MyArrayTwo("manufacturing","cars4",1),
new MyArrayTwo("manufacturing","cars7",1),
new MyArrayTwo("manufacturing","cars8",1),
new MyArrayTwo("manufacturing","cars9",1),
new MyArrayTwo("manufacturing","cars10",1),
new MyArrayTwo("manufacturing","cars5",1),
new MyArrayTwo("manufacturing","cars6",1),
new MyArrayTwo("manufacturing","cars1",1),
new MyArrayTwo("manufacturing","cars2",1),
new MyArrayTwo("manufacturing","cars3",1),
new MyArrayTwo("finance","bank1",1), new MyArrayTwo("finance","bank3",1),
new MyArrayTwo("finance","bank5",1), new MyArrayTwo("finance","bank6",1),
new MyArrayTwo("finance","bank7",1), new MyArrayTwo("finance","bank10",1),
new MyArrayTwo("finance","bank2",1), new MyArrayTwo("finance","bank4",1),
new MyArrayTwo("finance","bank8",1), new MyArrayTwo("finance","bank9",1)};
MyArrayOne[] retdata = new MyArrayOne[] {new MyArrayOne("treasury1",5.29),
new MyArrayOne("treasury2",2.8), new MyArrayOne("treasury3",3.59),
new MyArrayOne("treasury4",6.97), new MyArrayOne("treasury5",3.3),
new MyArrayOne("treasury6",3.02), new MyArrayOne("treasury7",2.98),
new MyArrayOne("treasury8",3.41), new MyArrayOne("treasury9",3.93),
new MyArrayOne("treasury10",3.86), new MyArrayOne("hardware1",11.36),
new MyArrayOne("hardware2",17.23), new MyArrayOne("hardware3",16.31),
new MyArrayOne("hardware4",21.1), new MyArrayOne("hardware5",13.76),
new MyArrayOne("hardware6",9.31), new MyArrayOne("hardware7",16.99),
new MyArrayOne("hardware8",24.85), new MyArrayOne("hardware9",18.52),
new MyArrayOne("hardware10",12.79), new MyArrayOne("theater1",36.1),
new MyArrayOne("theater2",19.4), new MyArrayOne("theater3",23.5),
new MyArrayOne("theater4",34.61), new MyArrayOne("theater5",16.91),
new MyArrayOne("theater6",27.04), new MyArrayOne("theater7",25.82),
new MyArrayOne("theater8",24.99), new MyArrayOne("theater9",36.89),
new MyArrayOne("theater10",31.71), new MyArrayOne("telecom1",10.89),
new MyArrayOne("telecom2",17.98), new MyArrayOne("telecom3",12.31),
new MyArrayOne("telecom4",6.53), new MyArrayOne("telecom5",6.11),
new MyArrayOne("telecom6",15.89), new MyArrayOne("telecom7",12.46),
new MyArrayOne("telecom8",11.11), new MyArrayOne("telecom9",16.6),
new MyArrayOne("telecom10",13.93), new MyArrayOne("brewery1",8.79),
new MyArrayOne("brewery2",9.35), new MyArrayOne("brewery3",8.88),
new MyArrayOne("brewery4",11.63), new MyArrayOne("brewery5",6.21),
new MyArrayOne("brewery6",9.26), new MyArrayOne("brewery7",4.77),
new MyArrayOne("brewery8",5.98), new MyArrayOne("brewery9",10.92),
new MyArrayOne("brewery10",5.26), new MyArrayOne("highways1",5.39),
new MyArrayOne("highways2",4.85), new MyArrayOne("highways3",8.34),
new MyArrayOne("highways4",8.48), new MyArrayOne("highways5",6.42),
new MyArrayOne("highways6",11.04), new MyArrayOne("highways7",13.15),
new MyArrayOne("highways8",10.01), new MyArrayOne("highways9",7.71),
new MyArrayOne("highways10",11.07), new MyArrayOne("cars1",5.74),
new MyArrayOne("cars2",7.13), new MyArrayOne("cars3",8.75),
new MyArrayOne("cars4",5.08), new MyArrayOne("cars5",6.23),
new MyArrayOne("cars6",8.19), new MyArrayOne("cars7",8.03),
new MyArrayOne("cars8",5.96), new MyArrayOne("cars9",4.17),
new MyArrayOne("cars10",8.11), new MyArrayOne("bank1",6.79),
new MyArrayOne("bank2",3.01), new MyArrayOne("bank3",4.92),
new MyArrayOne("bank4",4.14), new MyArrayOne("bank5",8.98),
new MyArrayOne("bank6",8.81), new MyArrayOne("bank7",4.7),
new MyArrayOne("bank8",8.06), new MyArrayOne("bank9",6.22),
new MyArrayOne("bank10",4.47), new MyArrayOne("software1",34.59),
new MyArrayOne("software2",44.94), new MyArrayOne("software3",43.05),
new MyArrayOne("software4",15.58), new MyArrayOne("software5",42.05),
new MyArrayOne("software6",20.66), new MyArrayOne("software7",20.76),
new MyArrayOne("software8",19.85), new MyArrayOne("software9",20.05),
new MyArrayOne("software10",45.38), new MyArrayOne("electronics1",23.07),
new MyArrayOne("electronics2",19.1), new MyArrayOne("electronics3",23.83),
new MyArrayOne("electronics4",16.54), new MyArrayOne("electronics5",28.33),
new MyArrayOne("electronics6",25.88), new MyArrayOne("electronics7",22.14),
new MyArrayOne("electronics8",22.65), new MyArrayOne("electronics9",12.59),
new MyArrayOne("electronics10",28.1)};
// Data structures for 'initializations to' (solution)
MySol solution = new MySol();
MySolArray[] solfrac = new MySolArray[maxnum];
MySolArray[] solbuy = new MySolArray[maxnum];
for(int i=0;i<maxnum;i++)
{ solfrac[i] = new MySolArray(); solbuy[i] = new MySolArray(); }
try{
mosel = XPRM.Init(); // Initialize Mosel
}catch(XPRMException e){
Console.WriteLine("License error" + e.Message);
throw new Exception("Error during execution");
}
mosel.WorkDir = Directory.GetParent(System.Reflection.Assembly.GetExecutingAssembly().Location).FullName;
// Set Mosel work directory to folder containing our example files
try{
mosel.Compile("foliomemio.mos"); // Compile the model (only required
// during development phase, deployed
// application would only use BIM)
}catch(XPRMException e){
Console.WriteLine(e.Message);
}
mod = mosel.LoadModel("foliomemio.bim"); // Load the model
// Associate the Java objects with names in Mosel
mosel.Bind("risk", riskset);
mosel.Bind("loc", locdata);
mosel.Bind("sec", secdata);
mosel.Bind("ret", retdata);
mosel.Bind("sfrac", solfrac);
mosel.Bind("sbuy", solbuy);
mosel.Bind("sol", solution);
// Pass model parameters through execution parameters
mod.ExecParams = "MAXRISK=" + maxrisk + ",MINREG=" + minreg +
",MAXREG=" + maxreg + ",MAXSEC=" + maxsec + ",MAXVAL=" +
maxval + ",MINVAL=" + minval + ",MAXNUM=" + maxnum +
// File names (IO driver)
",DATAFILE='dotnetraw:',OUTPUTFILE='dotnetraw:'," +
// Data locations in memory
"RISKDATA='risk',LOCDATA='loc(ind1,ind2,val)'," +
"RETDATA='ret(ind,val)',SECDATA='sec(ind1,ind2,val)'," +
"FRACSOL='sfrac(ind,val)',BUYSOL='sbuy(ind,val)'," +
"RETSOL='sol(objval)',NUMSHARES='sol(numshares)'," +
"SOLSTATUS='sol(status)'";
mod.Run(); // Run the model
if(mod.ExecStatus != XPRMRunResult.RT_OK){
throw new Exception("Error during model execution");
}
if(mod.ProblemStatus != XPRMProblemStatus.PB_OPTIMAL){
throw new Exception("Problem not optimal");
} // Stop if no solution available
// Display solution values obtained from the model
Console.WriteLine("Total return: " + solution.objval);
// Alternatively:
// Console.WriteLine("Objective value: " + mod.getObjectiveValue());
for(int i=0;i<solution.numshares;i++)
Console.WriteLine(solfrac[i].ind + ": " + solfrac[i].val*100 + "% (" + solbuy[i].val + ")");
mod.Reset(); // Reset the model
}
}
}
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| © Copyright 2024 Fair Isaac Corporation. |
