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

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

  Same model as in foliomip3.java.
  -- Infeasible model parameter values --
  -- Handling infeasibility through auxiliary variables --

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

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

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

    static final int MAXNUM = 4;          /* Max. number of different assets */
    static final double MAXRISK = 1.0/3;  /* Max. investment into high-risk values */
    static final double MINREG = 0.3;     /* Min. investment per geogr. region */
    static final double MAXREG = 0.5;     /* Max. investment per geogr. region */
    static final double MAXSEC = 0.15;    /* 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 final String[] MIPSTATUS = {"not loaded", "not optimized",
                                       "LP optimized", "unfinished (no solution)",
                                       "unfinished (solution found)", "infeasible", "optimal",
                                       "unbounded"};

    private static DecimalFormat form = new DecimalFormat ("0.00");

    public static void main(String[] args) throws IOException {
        int s,t,r;
        XPRBexpr LinkL, LinkU, le, le2;
        XPRBctr Risk,Return,Cap,Num;
        XPRBctr[] MinReg, MaxReg, LimSec;
        XPRBvar[] frac;                  /* Fraction of capital used per share */
        XPRBvar[] buy;                   /* 1 if asset is in portfolio, 0 otherwise */

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

        try (XPRBprob p = new XPRBprob("FolioMIP3inf")) { /* Initialize BCL and create a new problem */

            /* 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 */
            le = new XPRBexpr();
            for(s=0;s<NSHARES;s++) le.add(frac[s].mul(RET[s]));
            Return = p.newCtr("Return", le);
            p.setObj(le);                    /* Set the objective function */

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

            /* Limits on geographical distribution */
            MinReg = new XPRBctr[NREGIONS];
            MaxReg = new XPRBctr[NREGIONS];
            for(r=0;r<NREGIONS;r++) {
                le = new XPRBexpr();
                le2 = new XPRBexpr();
                for(s=0;s<NSHARES;s++)
                    if(LOC[r][s]) {
                        le.add(frac[s]);
                        le2.add(frac[s]);
                    }
                MinReg[r] = p.newCtr("MinReg", le.gEql(MINREG));
                MaxReg[r] = p.newCtr("MaxReg", le2.lEql(MAXREG));
            }

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

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

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


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

            System.out.println("Problem status: " + MIPSTATUS[p.getMIPStat()]);

            if (p.getMIPStat()==XPRB.MIP_INFEAS) {
                System.out.println("Original problem infeasible. Adding deviation variables");

                XPRBvar devRisk, devNum;
                XPRBvar [] devMinReg, devMaxReg, devSec;

                /* Define deviation variables and add them to the constraints
                   to make problem solvable */
                devRisk = p.newVar("devRisk");
                Risk.add(devRisk.mul(-1));

                devMinReg = new XPRBvar[NREGIONS];
                devMaxReg = new XPRBvar[NREGIONS];
                for(r=0;r<NREGIONS;r++)
                    {                                  /* Only allow small deviations */
                        devMinReg[r] = p.newVar("devMinReg", XPRB.PL, 0, MAXREG/2);
                        MinReg[r].add(devMinReg[r]);
                        devMaxReg[r] = p.newVar("devMaxReg", XPRB.PL, 0, MAXREG/2);
                        MaxReg[r].add(devMaxReg[r].mul(-1));
                    }

                devSec = new XPRBvar[NTYPES];
                for(t=0;t<NTYPES;t++) {
                    devSec[t] = p.newVar("devSec", XPRB.PL, 0, MAXSEC/2);
                    LimSec[t].add(devSec[t].mul(-1));
                }

                devNum = p.newVar("devNum");
                Num.add(devNum.mul(-1));


                /* Resolve the problem with penalty terms added to the objective */
                double penalty = -10;
                Return.add(devRisk.mul(penalty));
                for(r=0;r<NREGIONS;r++)
                    Return.add(devMinReg[r].mul(penalty) .add(devMaxReg[r].mul(penalty)));
                for(t=0;t<NTYPES;t++)  Return.add(devSec[t].mul(penalty));
                Return.add(devNum.mul(penalty));
                p.setObj(Return);               /* Set the new objective function */

                p.mipOptimize("");

                if (p.getMIPStat()==XPRB.MIP_INFEAS) {
                    System.out.println("No solution after relaxation");
                    return;
                }
                else {
                    System.out.println("Constraint violations:");
                    System.out.println("  Constraint            Activity  Deviation  Bound(s)");
                    System.out.println("  Risk                    " +
                                       form.format(Risk.getAct()+devRisk.getSol()) + "\t  " +
                                       form.format(devRisk.getSol()) +"\t  (" + form.format(MAXRISK) + ")");
                    for(r=0;r<NREGIONS;r++) {
                        double sumf=0;
                        for(s=0;s<NSHARES;s++) if(LOC[r][s]) sumf+=frac[s].getSol();
                        StringBuffer sb = new StringBuffer(REGIONS_n[r]+"          ");
                        sb.setLength(11);
                        System.out.println("  Region " + sb.toString() + "      " +
                                           form.format(sumf) + "\t  " +
                                           form.format(devMaxReg[r].getSol()-devMinReg[r].getSol()) + "\t  (" +
                                           MINREG + "-" + MAXREG + ")");
                    }
                    for(t=0;t<NTYPES;t++) {
                        StringBuffer sb = new StringBuffer(TYPES_n[t]+"          ");
                        sb.setLength(14);
                        System.out.println("  Sector " + sb.toString() + "   " +
                                           form.format(LimSec[t].getAct()+devSec[t].getSol()) + "\t  " +
                                           form.format(devSec[t].getSol()) + "\t  (" + MAXSEC + ")");
                    }
                    System.out.println("  Number of assets        " +
                                       form.format(Num.getAct()+devNum.getSol()) + "\t  " +
                                       form.format(devNum.getSol()) + "\t  (" +MAXNUM + ")");
                }
            }


            /* Solution printing */
            System.out.println("Total return: " + form.format(p.getObjVal()));
            for(s=0;s<NSHARES;s++)
                if(buy[s].getSol()>0.5)
                    System.out.println(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();
    }
}