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Folio - Examples from 'Getting Started'

Description
Different versions of a portfolio optimization problem.

Basic modelling and solving tasks:
  • modeling and solving a small LP problem (foliolp, using variable arrays: folioarr)
  • performing explicit initialization (folioinit*)
  • data input from file, index sets (foliodata, requires foliocpplp.dat)
  • modeling and solving a small MIP problem with binary variables (foliomip1)
  • modeling and solving a small MIP problem with semi-continuous variables (foliomip2)
  • modeling and solving QP and MIQP problems (folioqp, requires foliocppqp.dat)
  • modeling and solving QCQP problems (folioqc, requires foliocppqp.dat)
  • heuristic solution of a MIP problem (folioheur)
Advanced modeling and solving tasks:
  • enlarged version of the basic MIP model (foliomip3 with include file readfoliodata.c_, to be used with data sets folio5.cdat, folio10.cdat)
  • defining an integer solution callback (foliocb)
  • using the MIP solution pool (foliosolpool)
  • using the solution enumerator (folioenumsol)
  • handling infeasibility through deviation variables (folioinfeas)
  • retrieving IIS (folioiis, foliomiis)
  • using the built-in infeasibility repair functionality (foliorep)
Further explanation of this example: 'Getting Started with BCL' for the basic modelling and solving tasks; 'Advanced Evaluators Guide' for solution enumeration and infeasibilit handling


Source Files

Data Files





foliolp.c

/********************************************************
  Xpress-BCL C Example Problems
  =============================

  file foliolp.c
  ``````````````
  Modeling a small LP problem
  to perform portfolio optimization.

  (c) 2008 Fair Isaac Corporation
      author: S.Heipcke, Dec. 2003, rev. Mar. 2011
********************************************************/

#include <stdio.h>
#include "xprb.h"

#define NSHARES 10                   /* Number of shares */
#define NRISK 5                      /* Number of high-risk shares */
#define NNA 4                        /* Number of North-American shares */

double RET[] = {5,17,26,12,8,9,7,6,31,21};  /* Estimated return in investment */
int RISK[] = {1,2,3,8,9};            /* High-risk values among shares */
int NA[] = {0,1,2,3};                /* Shares issued in N.-America */

int main(int argc, char **argv)
{
 int s;
 XPRBprob prob;
 XPRBctr Risk,Na,Return,Cap;
 XPRBvar frac[NSHARES];              /* Fraction of capital used per share */
 char *LPSTATUS[] = {"not loaded", "optimal", "infeasible",
          "worse than cutoff", "unfinished", "unbounded", "cutoff in dual",
	  "unsolved", "nonconvex"};

 prob = XPRBnewprob("FolioLP");      /* Initialize a new problem in BCL */

/* Create the decision variables */
 for(s=0;s<NSHARES;s++)
  frac[s] = XPRBnewvar(prob, XPRB_PL, "frac", 0, XPRB_INFINITY);
                   /* (prob, XPRB_PL, "frac", 0, 0.3); */

/* Objective: total return */
 Return = XPRBnewctr(prob, "Return", XPRB_N);
 for(s=0;s<NSHARES;s++) XPRBaddterm(Return, frac[s], RET[s]);
 XPRBsetobj(prob,Return);            /* Set the objective function */

/* Limit the percentage of high-risk values */
 Risk = XPRBnewctr(prob, "Risk", XPRB_L);
 for(s=0;s<NRISK;s++) XPRBaddterm(Risk, frac[RISK[s]], 1);
 XPRBaddterm(Risk, NULL, 1.0/3);

/* Minimum amount of North-American values */
 Na = XPRBnewctr(prob, "NA", XPRB_G);
 for(s=0;s<NNA;s++) XPRBaddterm(Na, frac[NA[s]], 1);
 XPRBaddterm(Na, NULL, 0.5);

/* Spend all the capital */
 Cap = XPRBnewctr(prob, "Cap", XPRB_E);
 for(s=0;s<NSHARES;s++) XPRBaddterm(Cap, frac[s], 1);
 XPRBaddterm(Cap, NULL, 1);

/* Upper bounds on the investment per share */
 for(s=0;s<NSHARES;s++) XPRBsetub(frac[s], 0.3);

/* Export matrix to a file */
/* XPRBexportprob(prob, XPRB_MPS, "Folio");
 XPRBsetsense(prob, XPRB_MAXIM);
 XPRBexportprob(prob, XPRB_LP, "Folio");
*/

/* Disable all BCL and Optimizer message printing, except error messages */
/* XPRBsetmsglevel(prob, 1); */

/* Solve the problem */
 XPRBsetsense(prob, XPRB_MAXIM);
 XPRBlpoptimize(prob, "");

 printf("Problem status: %s\n", LPSTATUS[XPRBgetlpstat(prob)]);

/* Solution printing */
 printf("Total return: %g\n", XPRBgetobjval(prob));
 for(s=0;s<NSHARES;s++)
  printf(" %d : %g%%\n", s, XPRBgetsol(frac[s])*100);

 return 0;
}

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