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Folio - Introductory examples from 'Getting Started'

Description
Simple tasks for formulating and solving a portfolio optimization problem:
• 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
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Data Files

foliomatsolpool.c

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

file foliomatsolpool.c

Using the MIP solution pool with a MIP problem
input from a matrix file.

(c) 2009 Fair Isaac Corporation
author: D.Nielsen, S.Heipcke, July 2009, rev. June 2010
********************************************************/

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

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

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

XPRScreateprob(&prob);                  /* Create a new problem */

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

/* Attach the mip solution pool to the problem so it will
automatically receive the solutions as they are found */
XPRS_msp_probattach(msp, prob);

/* Solve the problem */
XPRSchgobjsense(prob, XPRS_OBJ_MAXIMIZE);  /* Set sense to maximization */
XPRSmipoptimize(prob, "");                 /* Solve the problem */

/* Get the number of solutions found */
XPRS_msp_getintattrib(msp, XPRS_MSP_SOLUTIONS, &nSols);

if(nSols)
{
printf("Number of solutions: %d\n", nSols);

XPRS_msp_getdblattribprobextreme(msp, prob, 1, &solID,
XPRS_MSP_SOLPRB_OBJ, &objval);

printf("Optimal solution ID: %d\n", solID);
printf("Optimal objective  : %g\n", objval);

/* Get the number of columns in the solutions */
XPRS_msp_getintattribsol(msp, solID, &solStatus,
XPRS_MSP_SOL_COLS, &nCols);

/* Print out the solution values of the best solution */
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);
}
}

XPRSdestroyprob(prob);                  /* Delete the problem */
XPRS_msp_destroy(msp);
XPRSfree();                             /* Terminate Xpress */

return 0;
}