/********************************************************
 * Xpress-BCL Java Example Problems
 * ================================
 *
 * file folioenumsol.java
 * ``````````````````````
 * Modeling a MIP problem
 * to perform portfolio optimization.
 *
 * Same model as in foliomip3.java.
 * -- Using the solution enumerator --
 *
 * (c) 2009-2024 Fair Isaac Corporation
 * author: S.Heipcke, Y.Colombani, June 2009, rev. Dec. 2011
 ********************************************************/

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

public class folioenumsol {
  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 {
    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 */
        XPRBexprContext context =
            new XPRBexprContext(); /* Release XPRBexpr instances at end of block. */
        XPRS xprs = new XPRS()) {
        /* Initialize Xpress-Optimizer */
      int s, t, r, i;
      XPRBexpr Risk, Return, Cap, Num, LinkL, LinkU;
      XPRBexpr[] MinReg, MaxReg, LimSec;

      /* 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 & enumerator */
      XPRSmipsolpool msp = new XPRSmipsolpool();
      XPRSmipsolenum mse = new XPRSmipsolenum();

      /* Load matrix into the Optimizer, then hand over to solution enumerator */
      p.loadMat();

      /* Disable heuristics to avoid duplicate solutions being stored */
      p.getXPRSprob().setIntControl(XPRS.HEUREMPHASIS, 0);

      /* Solve the problem */
      IntHolder nMaxSols = new IntHolder(15); // Max. number of solutions to return
      mse.maxim(p.getXPRSprob(), msp, new XPRSdefaultMipSolEnumHandler(), null, nMaxSols);

      /* 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 = mse.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();
  }
}