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Economics and finance Description
Further explanation of this example:
'Applications of optimization with Xpress-MP', Chapter 13: Economics and finance problems
Source Files By clicking on a file name, a preview is opened at the bottom of this page.
Data Files
h6expand.mos (!****************************************************** Mosel Example Problems ====================== file h6expand.mos ````````````````` Planning the expansion of a company A company aims to expand and has a series of candidate projects for a planning horizon of five years. Every project has an annual cost and expected benefit after five years. The forecast annual costs of the projects for the next five years as well as the available yearly funds are known. Which project(s) should the company choose now to maximize the total benefit after five years? A simple IP model with binary decision variables is implemented. For each period, we ensure that the annual cost of the project is at most the available funds for the specific year. The problem solving is started repeatedly, initially solving only the root LP relaxation. (c) 2008-2022 Fair Isaac Corporation author: S. Heipcke, Mar. 2002, rev. Mar. 2022 *******************************************************!) model "H-6 Expansion" uses "mmxprs" forward procedure printsol declarations PROJECTS = 1..5 ! Set of possible projects TIME = 1..5 ! Planning period COST: array(PROJECTS,TIME) of real ! Annual costs of projects CAP: array(TIME) of real ! Annually available capital RET: array(PROJECTS) of real ! Estimated profits DESCR: array(PROJECTS) of string ! Description of projects choose: array(PROJECTS) of mpvar ! 1 if project is chosen, 0 otherwise end-declarations initializations from 'h6expand.dat' COST CAP RET DESCR end-initializations ! Objective: Total profit Profit:= sum(p in PROJECTS) RET(p)*choose(p) ! Limit on capital availability forall(t in TIME) sum(p in PROJECTS) COST(p,t)*choose(p) <= CAP(t) forall(p in PROJECTS) choose(p) is_binary ! Solve the problem maximize(XPRS_LIN, Profit) write("LP solution: ") printsol maximize(Profit) write("MIP solution: ") printsol ! Force acceptance of project 1 (='rounding' of an almost integer LP solution value) choose(1)=1 maximize(Profit) write("Forcing project 1 (", DESCR(1), "): ") printsol !----------------------------------------------------------------- ! Solution printing procedure printsol writeln("Total profit: ", getobjval) forall(p in PROJECTS | getsol(choose(p))>0) writeln(" ", DESCR(p), " (", getsol(choose(p)), ")") end-procedure end-model | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||

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