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Folio - Examples from 'Getting Started' Description Different versions of a portfolio optimization problem. Basic modelling and solving tasks:
Source Files By clicking on a file name, a preview is opened at the bottom of this page. Data Files foliomiis.java /******************************************************** * Xpress-BCL Java Example Problems * ================================ * * file foliomiis.java * ``````````````````` * Modeling a MIP problem * to perform portfolio optimization. * * Same model as in foliomip3.java. * -- Infeasible model parameter values -- * -- Retrieving MIIS -- * * (c) 2011-2024 Fair Isaac Corporation * author: S.Heipcke, Mar. 2011, rev. Dec. 2011 ********************************************************/ import com.dashoptimization.*; import java.io.*; import java.util.*; public class foliomiis { static final String DATAFILE = "folio5.cdat"; static final int MAXNUM = 5; /* Max. number of different assets */ static final double MAXRISK = 1.0 / 4; /* Max. investment into high-risk values */ static final double MINREG = 0.1; /* Min. investment per geogr. region */ static final double MAXREG = 0.25; /* Max. investment per geogr. region */ static final double MAXSEC = 0.15; /* Max. investment per ind. sector */ static final double MAXVAL = 0.225; /* 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[]; public static void main(String[] args) throws IOException { 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 in BCL */ XPRBexprContext context = new XPRBexprContext(); /* Release XPRBexpr instances at end of block. */ XPRS xprs = new XPRS()) { /* Initialize Xpress-Optimizer */ 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 */ /* Create the decision variables */ frac = new XPRBvar[NSHARES]; buy = new XPRBvar[NSHARES]; for (s = 0; s < NSHARES; s++) { frac[s] = p.newVar("frac_" + SHARES_n[s], XPRB.PL, 0, MAXVAL); buy[s] = p.newVar("buy_" + SHARES_n[s], 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(" + REGIONS_n[r] + ")", le.gEql(MINREG)); MaxReg[r] = p.newCtr("MaxReg(" + REGIONS_n[r] + ")", 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(" + TYPES_n[t] + ")", 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 (MIP) */ p.setSense(XPRB.MAXIM); p.mipOptimize(""); if (p.getMIPStat() == XPRB.MIP_INFEAS) { System.out.println("MIP infeasible. Retrieving IIS."); int numiis = p.getNumIIS(); /* Get the number of independent IIS */ System.out.println("Number of IIS: " + numiis); XPRSprob op = p.getXPRSprob(); /* Retrieve the Optimizer problem */ ArrayList iisctr, iisvar; int numv, numc, i; iisvar = new ArrayList(); iisctr = new ArrayList(); for (s = 1; s <= numiis; s++) { p.getIIS(iisvar, iisctr, s); numv = iisvar.size(); numc = iisctr.size(); System.out.println("IIS " + s + ": " + numv + " variables, " + numc + " constraints"); if (numv > 0) { /* Print all variables in the IIS */ System.out.print(" Variables: "); for (i = 0; i < numv; i++) System.out.print(((XPRBvar) iisvar.get(i)).getName() + " "); System.out.println(); } if (numc > 0) { /* Print all constraints in the IIS */ System.out.print(" Constraints: "); for (i = 0; i < numc; i++) System.out.print(((XPRBctr) iisctr.get(i)).getName() + " "); System.out.println(); } } } else System.out.println("Feasible or search unfinished!"); } } /***********************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(); } } | |||||||||
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