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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)
  • 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, 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

xbfoliojava.zip[download all files]

Source Files

Data Files





foliolp.java

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

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

  (c) 2008-2024 Fair Isaac Corporation
      author: S.Heipcke, 2003, rev. Dec. 2011
********************************************************/

import java.io.*;
import com.dashoptimization.*;

public class foliolp {
    static final int NSHARES = 10;     /* Number of shares */
    static final int NRISK = 5;        /* Number of high-risk shares */
    static final int NNA = 4;          /* Number of North-American shares */

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

    static final String[] LPSTATUS = {"not loaded", "optimal", "infeasible",
                                      "worse than cutoff", "unfinished", "unbounded", "cutoff in dual",
                                      "unsolved", "nonconvex"};

    public static void main(String[] args) {
        int s;
        XPRBexpr Risk,Na,Return,Cap;
        XPRBvar[] frac;                    /* Fraction of capital used per share */

        try (XPRBprob p = new XPRBprob("FolioLP")) { /* Initialize BCL and create a new problem */

            /* Create the decision variables */
            frac = new XPRBvar[NSHARES];
            for(s=0;s<NSHARES;s++) frac[s] = p.newVar("frac");  /*, XPRB.PL, 0, 0.3); */

            /* Objective: total return */
            Return = new XPRBexpr();
            for(s=0;s<NSHARES;s++) Return.add(frac[s].mul(RET[s]));
            p.setObj(Return);                  /* Set the objective function */

            /* Limit the percentage of high-risk values */
            Risk = new XPRBexpr();
            for(s=0;s<NRISK;s++) Risk.add(frac[RISK[s]]);
            p.newCtr("Risk", Risk.lEql(1.0/3) );

            /* Equivalent:
               XPRBctr CRisk;
               CRisk = p.newCtr("Risk");
               for(s=0;s<NRISK;s++) CRisk.addTerm(frac[RISK[s]], 1);
               CRisk.setType(XPRB.L);
               CRisk.addTerm(1.0/3);
            */

            /* Minimum amount of North-American values */
            Na = new XPRBexpr();
            for(s=0;s<NNA;s++) Na.add(frac[NA[s]]);
            p.newCtr("NA", Na.gEql(0.5) );

            /* Spend all the capital */
            Cap = new XPRBexpr();
            for(s=0;s<NSHARES;s++) Cap.add(frac[s]);
            p.newCtr("Cap", Cap.eql(1));

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

            /* Export matrix to a file */
            try {
                p.exportProb(XPRB.MPS, "Folio");
                p.setSense(XPRB.MAXIM);
                p.exportProb(XPRB.LP, "Folio");
            }
            catch(IOException e) {
                System.err.println(e.getMessage());
                System.exit(1);
            }

            /* Disable all BCL and Optimizer message printing, except error messages */
            /*  p.setMsgLevel(1); */

            /* Solve the problem */
            p.setSense(XPRB.MAXIM);
            p.lpOptimize("");

            System.out.println("Problem status: " + LPSTATUS[p.getLPStat()]);

            /* Solution printing */
            System.out.println("Total return: " + p.getObjVal());
            for(s=0;s<NSHARES;s++)
                System.out.println(s + ": " + frac[s].getSol()*100 + "%");

        }
    }
}

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