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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 runfolio2.java
/*******************************************************
Mosel Example Problems
======================
file runfolio2.java
```````````````````
Running a Mosel model from a Java application
with data exchange between model and host application.
(Sparse data format using string indices)
-- Grouping arrays with identical index sets --
(c) 2009 Fair Isaac Corporation
author: S. Heipcke, Jan. 2009
********************************************************/
import com.dashoptimization.*;
public class runfolio2
{
// Classes to store initial values for data
public static class MyArrayTwo
{
public String ind1,ind2; // index names
public boolean val; // data value
MyArrayTwo(String i1, String i2, boolean v)
{ ind1=i1; ind2=i2; val=v; }
MyArrayTwo(String i1, String i2, int v)
{ ind1=i1; ind2=i2; val=(v==1); }
}
public static class MyArrayOne
{
public String ind; // index name
public double val; // data value
MyArrayOne(String i, double v)
{ ind=i; val=v; }
}
// Class to receive solution values of decision variables
public static class MySolArray
{
public String ind; // index name
public double val1,val2; // solution values
}
// Class with scalar solution information
// (scalars cannot be passed directly)
public static 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) throws Exception
{
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 = {"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("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("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("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[] sol = new MySolArray[maxnum];
for(int i=0;i<maxnum;i++)
sol[i] = new MySolArray();
try{
mosel = new XPRM(); // Initialize Mosel
}catch(XPRMLicenseError e){
System.out.println("License error" + e.getMessage());
throw new java.lang.Exception("Error during execution");
}
try{
mosel.compile("foliomemio2.mos"); // Compile the model (only required
// during development phase, deployed
// application would only use BIM)
}catch(XPRMCompileException e){
System.out.println(e.getMessage());
}
mod = mosel.loadModel("foliomemio2.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("sfracbuy", sol);
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='jraw:',OUTPUTFILE='jraw:'," +
// Data locations in memory
"RISKDATA='risk',LOCDATA='loc(ind1,ind2,val)'," +
"RETDATA='ret(ind,val)',SECDATA='sec(ind1,ind2,val)'," +
"FRACBUYSOL='sfracbuy(ind,val1,val2)'," +
"RETSOL='sol(objval)',NUMSHARES='sol(numshares)'," +
"SOLSTATUS='sol(status)'";
mod.run(); // Run the model
if(mod.getExecStatus() != XPRMModel.RT_OK){
throw new java.lang.Exception("Error during model execution");
}
if(mod.getProblemStatus() != mod.PB_OPTIMAL){
throw new java.lang.Exception("Problem not optimal");
} // Stop if no solution available
// Display solution values obtained from the model
System.out.println("Total return: " + solution.objval);
// Alternatively:
// System.out.println("Objective value: " + mod.getObjectiveValue());
for(int i=0;i<solution.numshares;i++)
System.out.println(sol[i].ind + ": " + sol[i].val1*100 + "% (" + sol[i].val2 + ")");
mod.reset(); // Reset the model
}
}
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