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Folio - Introductory examples from 'Getting Started'

Description
Simple tasks for formulating and solving a portfolio optimization problem:
  • loading an LP problem via matrix input (folioinput.c)
  • inputting an LP problem from data arrays (foliolp.c)
  • inputting a MIP problem - binary variables (foliomip1.c)
  • inputting a MIP problem - semicontinuous variables (foliomip2.c)
  • inputting a QP problem (folioqp.c)
  • using the MIP solution enumerator (foliomatenumsol.c)
  • using the MIP solution pool (foliomatsolpool.c)


Source Files

Data Files





foliomatenumsol.c

/********************************************************
  Xpress Optimizer Example Problems
  =================================

  file foliomatenumsol.c
  ``````````````````````
  Using the MIP solution enumerator with a MIP problem
  input from a matrix file.

  (c) 2009 Fair Isaac Corporation
      author: D.Nielsen, S.Heipcke, July 2009, rev. Jul. 2014
********************************************************/

#include <stdio.h>
#include <stdlib.h>
#include "xprs.h"
#include "xprs_mse_defaulthandler.h"

int main(int argc, char **argv)
{
 XPRSprob prob;
 XPRSmipsolpool msp;
 XPRSmipsolenum mse;
 int i, s, nSols, solID, nCols, solStatus, presolveOps, maxSols;
 double objval, sol;

 /* Initialize Xpress */
 if (XPRSinit(NULL)) {
   printf("Failed to initialize Xpress.\n");
   return -1;
 }

 XPRScreateprob(&prob);                  /* Create a new problem */
                                
 XPRSreadprob(prob, "folio10_7.lp", "");    /* Read the problem matrix */

 /* Get the number of columns in the problem */
 XPRSgetintattrib(prob, XPRS_ORIGINALCOLS, &nCols);

 /* Create a mip solution pool to store the solutions */
 XPRS_msp_create(&msp);

 /* Create a mip solution enumerator to run the search */
 XPRS_mse_create(&mse);

 /* Disable heuristics to avoid duplicate solutions being found and stored */
 XPRSsetintcontrol(prob, XPRS_HEURSTRATEGY, 0);

 /* Prevent dual reductions from removing dominated solutions. */
 XPRSsetintcontrol(prob, XPRS_MIPDUALREDUCTIONS, 0);

 /* Run the enumeration */
 maxSols = 10;
 XPRS_mse_maxim(mse, prob, msp, XPRS_mse_defaulthandler, NULL, &maxSols);

 /* Get the number of solutions found */
 XPRS_mse_getintattrib(mse, XPRS_MSE_SOLUTIONS, &nSols);

 /* Print out the solutions found */
 for(i=1; i<=nSols; i++)
 {
  XPRS_mse_getsollist(mse, XPRS_MSE_METRIC_MIPOBJECT, i, i, &solID, 
                      NULL, NULL);
  XPRS_mse_getsolmetric(mse, solID, &solStatus, XPRS_MSE_METRIC_MIPOBJECT,
                        &objval);
  printf("--------\nSolution %d:  Objective: %g\n", i, objval);
  for(s=0; s<nCols ;s++) {
   XPRS_msp_getsol(msp, solID, &solStatus, &sol, s, s, NULL);
   if(sol!=0) printf("%3d: %g\n", s+1, sol);
  }
 }

 XPRS_mse_destroy(mse);
 XPRS_msp_destroy(msp);

 XPRSdestroyprob(prob);                  /* Delete the problem */ 
 XPRSfree();                             /* Terminate Xpress */
  
 return 0;
} 

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