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

  file foliosolpool.java
  ``````````````````````
  Modeling a MIP problem
  to perform portfolio optimization.

  Same model as in foliomip3.java.
  -- Using the MIP solution pool --

  (c) 2009-2024 Fair Isaac Corporation
      author: S.Heipcke, Y.Colombani, June 2009, rev. Dec. 2011
********************************************************/

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

public class foliosolpool {
    static final String DATAFILE = "folio10.cdat";

    static final int MAXNUM = 7;          /* Max. number of different assets */
    static final double MAXRISK = 1.0/3;  /* Max. investment into high-risk values */
    static final double MINREG = 0.2;     /* Min. investment per geogr. region */
    static final double MAXREG = 0.5;     /* Max. investment per geogr. region */
    static final double MAXSEC = 0.25;    /* Max. investment per ind. sector */
    static final double MAXVAL = 0.2;     /* Max. investment per share */
    static final double MINVAL = 0.1;     /* Min. investment per share */


    static int NSHARES;               /* Number of shares */
    static int NRISK;                 /* Number of high-risk shares */
    static int NREGIONS;              /* Number of geographical regions */
    static int NTYPES;                /* Number of share types */

    static double[] RET;              /* Estimated return in investment  */
    static int[] RISK;                /* High-risk values among shares */
    static boolean LOC[][];           /* Geogr. region of shares */
    static boolean SEC[][];           /* Industry sector of shares */

    static String SHARES_n[];
    static String REGIONS_n[];
    static String TYPES_n[];

    static XPRBvar[] frac;            /* Fraction of capital used per share */
    static XPRBvar[] buy;             /* 1 if asset is in portfolio, 0 otherwise */


    public static void main(String[] args) throws IOException, XPRSexception {
        int s,t,r,i;
        XPRBexpr Risk,Return,Cap,Num, LinkL, LinkU;
        XPRBexpr[] MinReg, MaxReg, LimSec;

        try {
            readData();                     /* Read data from file */
        }
        catch(IOException e) {
            System.err.println(e.getMessage());
            System.exit(1);
        }

        try (XPRBprob p = new XPRBprob("FolioMIP3"); /* Initialize BCL and create a new problem */
             XPRS xprs = new XPRS()) {               /* Initialize Xpress-Optimizer */

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

            /* 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.lEql(MAXRISK));

            /* Limits on geographical distribution */
            MinReg = new XPRBexpr[NREGIONS];
            MaxReg = new XPRBexpr[NREGIONS];
            for(r=0;r<NREGIONS;r++) {
                MinReg[r] = new XPRBexpr();
                MaxReg[r] = new XPRBexpr();
                for(s=0;s<NSHARES;s++)
                    if(LOC[r][s]) {
                        MinReg[r].add(frac[s]);
                        MaxReg[r].add(frac[s]);
                    }
                p.newCtr(MinReg[r].gEql(MINREG));
                p.newCtr(MaxReg[r].lEql(MAXREG));
            }

            /* Diversification across industry sectors */
            LimSec = new XPRBexpr[NTYPES];
            for(t=0;t<NTYPES;t++) {
                LimSec[t] = new XPRBexpr();
                for(s=0;s<NSHARES;s++)
                    if(SEC[t][s]) LimSec[t].add(frac[s]);
                p.newCtr(LimSec[t].lEql(MAXSEC));
            }

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

            /* Limit the total number of assets */
            Num = new XPRBexpr();
            for(s=0;s<NSHARES;s++) Num.add(buy[s]);
            p.newCtr(Num.lEql(MAXNUM));

            /* Linking the variables */
            for(s=0;s<NSHARES;s++) p.newCtr(frac[s].lEql(buy[s].mul(MAXVAL)));
            for(s=0;s<NSHARES;s++) p.newCtr(frac[s].gEql(buy[s].mul(MINVAL)));


            /* Create a mip solution pool and attach it to the problem
               (so it collects the solutions) */
            XPRSmipsolpool msp = new XPRSmipsolpool();
            msp.probAttach(p.getXPRSprob());

            /* Avoid storing of duplicate solutions (3: compare discrete variables only) */
            msp.setIntControl(XPRS.MSP_DUPLICATESOLUTIONSPOLICY, 3);

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

            /* Setup some resources to iterate through the solutions stored
               in the MIP solution pool */
            int nCols = p.getXPRSprob().getIntAttrib(XPRS.ORIGINALCOLS);
            double[] xsol = new double[nCols];

            /* Get the number of solutions and solution IDs from the mip solution pool */
            int nSols = msp.attributes().getSolutions();
            int[] iSolutionIds = new int[nSols];
            msp.getSolList(p.getXPRSprob(), XPRS.MSP_SOLPRB_OBJ, 1, 1, nSols,
                           iSolutionIds, null, null);

            for(i=0; i<nSols; i++)
                {                              /* Get the solution */
                    msp.getSol(iSolutionIds[i], null, xsol, 0, nCols-1, null);
                    p.loadMIPSol(xsol);           /* Load the solution into BCL */
                    print_sol(p, i+1);            /* Display the solution */
                }

        }
    }

    /**************************Solution printing****************************/
    static void print_sol(XPRBprob p, int num) {
        int s;
        System.out.println("Solution " + num + ": Total return: " + p.getObjVal());
        for(s=0;s<NSHARES;s++)
            if(buy[s].getSol()>0.5)
                System.out.println("  " + SHARES_n[s] + ": " + frac[s].getSol()*100 +
                                   "% (" + buy[s].getSol() + ")");
    }

    /***********************Data input routines***************************/

    /***************************/
    /* Input a list of strings */
    /***************************/
    private static String [] read_str_list(StreamTokenizer st) throws IOException {
        LinkedList<String> l=new LinkedList<String>();

        st.nextToken();                  /* Skip ':' */
        while(st.nextToken()==st.TT_WORD) {
            l.addLast(st.sval);
        }

        String a[]=new String[l.size()];
        l.toArray(a);
        return a;
    }

    /************************/
    /* Input a list of ints */
    /************************/
    private static int [] read_int_list(StreamTokenizer st) throws IOException {
        LinkedList<Integer> l=new LinkedList<Integer>();

        st.nextToken();                  /* Skip ':' */
        while(st.nextToken()==st.TT_NUMBER) {
            l.addLast((int)st.nval);
        }

        int a[]=new int[l.size()];
        for(int i=0;i<l.size();i++)
            a[i]=((Integer)l.get(i)).intValue();
        return a;
    }

    /****************************/
    /* Input a table of doubles */
    /****************************/
    private static void read_dbl_table(StreamTokenizer st,double tbl[]) throws IOException {
        int n=0;

        st.nextToken();                  /* Skip ':' */
        while(st.nextToken()==st.TT_NUMBER) {
            tbl[n++]=st.nval;
        }
    }

    /************************************/
    /* Input a sparse table of booleans */
    /************************************/
    private static boolean [][] read_bool_table(StreamTokenizer st,int nrow,int ncol) throws IOException {
        int i;
        boolean tbl[][]=new boolean[nrow][ncol];

        st.nextToken();                  /* Skip ':' */
        for(int r=0;r<nrow;r++) {
            while(st.nextToken()==st.TT_NUMBER)
                tbl[r][(int)st.nval]=true;
        }
        return tbl;
    }

    private static void readData() throws IOException {
        int s;
        FileReader datafile=null;
        StreamTokenizer st=null;

        datafile=new FileReader(DATAFILE);/* Open the data file */
        st=new StreamTokenizer(datafile); /* Initialize the stream tokenizer */
        st.commentChar('!');              /* Use the character '!' for comments */
        st.eolIsSignificant(false);       /* Return end-of-line character */
        st.parseNumbers();                /* Read numbers as numbers (not strings) */

        while ( st.nextToken() == st.TT_WORD ) {
            if ( st.sval.equals("SHARES") && NSHARES==0)
                { SHARES_n=read_str_list(st); NSHARES=SHARES_n.length; }
            else
                if ( st.sval.equals("REGIONS") && NREGIONS==0)
                    { REGIONS_n=read_str_list(st); NREGIONS=REGIONS_n.length; }
                else
                    if ( st.sval.equals("TYPES") && NTYPES==0)
                        { TYPES_n=read_str_list(st); NTYPES=TYPES_n.length; }
                    else
                        if ( st.sval.equals("RISK") && NRISK==0)
                            { RISK=read_int_list(st); NRISK=RISK.length; }
                        else
                            if ( st.sval.equals("RET") && NSHARES>0) {
                                RET=new double[NSHARES];
                                read_dbl_table(st,RET);
                            }
                            else
                                if ( st.sval.equals("LOC") && NSHARES>0 && NREGIONS>0)
                                    LOC=read_bool_table(st,NREGIONS,NSHARES);
                                else
                                    if ( st.sval.equals("SEC") && NSHARES>0 && NTYPES>0)
                                        SEC=read_bool_table(st,NTYPES,NSHARES);
                                    else
                                        break;
        }

        /*
          for(int i=0;i<NREGIONS;i++) {
          for(int j=0;j<NSHARES;j++)
          System.out.print(" "+LOC[i][j]);
          System.out.println();
          }
        */
        datafile.close();
    }
}