FICO Xpress Optimization Examples Repository: Folio - Introductory examples from 'Getting Started'

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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)

foliooptc.zip

[download all files]

Source Files

By clicking on a file name, a preview is opened at the bottom of this page.

folioinput.c	[download]
foliolp.c	[download]
foliomip1.c	[download]
foliomip2.c	[download]
folioqp.c	[download]
foliomatenumsol.c	[download]
foliomatsolpool.c	[download]

Data Files

Folio.mps	[download]
folio10_7.lp	[download]

Folio.mps

NAME          FolioLP
ROWS
 N  *OBJ*
 E  Cap
 G  NA
 L  Risk

COLUMNS
    frac      NA        1
    frac      Cap       1
    frac      *OBJ*     5
    frac_1    Risk      1
    frac_1    NA        1
    frac_1    Cap       1
    frac_1    *OBJ*     17
    frac_2    Risk      1
    frac_2    NA        1
    frac_2    Cap       1
    frac_2    *OBJ*     26
    frac_3    Risk      1
    frac_3    NA        1
    frac_3    Cap       1
    frac_3    *OBJ*     12
    frac_4    Cap       1
    frac_4    *OBJ*     8
    frac_5    Cap       1
    frac_5    *OBJ*     9
    frac_6    Cap       1
    frac_6    *OBJ*     7
    frac_7    Cap       1
    frac_7    *OBJ*     6
    frac_8    Risk      1
    frac_8    Cap       1
    frac_8    *OBJ*     31
    frac_9    Risk      1
    frac_9    Cap       1
    frac_9    *OBJ*     21

RHS
    *RHS*     Cap       1
    *RHS*     NA        0.5
    *RHS*     Risk      0.333333

BOUNDS
 UP *BND*     frac      0.3
 UP *BND*     frac_1    0.3
 UP *BND*     frac_2    0.3
 UP *BND*     frac_3    0.3
 UP *BND*     frac_4    0.3
 UP *BND*     frac_5    0.3
 UP *BND*     frac_6    0.3
 UP *BND*     frac_7    0.3
 UP *BND*     frac_8    0.3
 UP *BND*     frac_9    0.3

ENDATA