/********************************************************
 * Xpress-BCL Java Example Problems
 * ================================
 *
 * file foliorep.java
 * ``````````````````
 * Modeling a MIP problem
 * to perform portfolio optimization.
 *
 * Same model as in foliomip3.java.
 * -- Infeasible model parameter values --
 * -- Retrieving IIS --
 *
 * (c) 2009-2024 Fair Isaac Corporation
 * author: S.Heipcke, June 2009, rev. Nov. 2014
 ********************************************************/

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

public class foliorep {
  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 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 {
    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 */
        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;
      ArrayList<XPRBctr> AllCtrs =
          new ArrayList<XPRBctr>(); /* Array of ctrs that will be allowed to be relaxed */

      /* 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]]);
      AllCtrs.add(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]);
          }
        AllCtrs.add(MinReg[r] = p.newCtr("MinReg(" + REGIONS_n[r] + ")", le.gEql(MINREG)));
        AllCtrs.add(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]);
        AllCtrs.add(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]);
      AllCtrs.add(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 (LP) */
      p.setMsgLevel(1);
      p.setSense(XPRB.MAXIM);
      p.lpOptimize("");

      if (p.getLPStat() == XPRB.LP_INFEAS) {
        System.out.println("LP infeasible. Start infeasibility repair.");

        XPRSprob op = p.getXPRSprob(); /* Retrieve the Optimizer problem */

        /* Must use the weighted infeasibility repair method since
        only some constraints of each type may be relaxed */

        /*
          lrp: (affects = and <= rows)
          ax - aux_var  = b
          ax - aux_var <= b
          grp: (affects = and >= rows)
          ax + aux_var  = b
          ax + aux_var >= b
          lbp:
          x_i + aux_var >= l
          ubp:
          x_i - aux_var <= u
        */

        int nrow, ncol;
        double[] lrp, grp, lbp, ubp;
        ncol = op.getIntAttrib(XPRS.ORIGINALCOLS);
        nrow = op.getIntAttrib(XPRS.ORIGINALROWS);
        lrp = new double[nrow];
        grp = new double[nrow];
        lbp = new double[ncol];
        ubp = new double[ncol];

        lrp[Risk.getRowNum()] = 1;
        for (r = 0; r < NREGIONS; r++) lrp[MaxReg[r].getRowNum()] = 1;
        for (t = 0; t < NTYPES; t++) lrp[LimSec[t].getRowNum()] = 1;
        lrp[Num.getRowNum()] = 1;
        for (r = 0; r < NREGIONS; r++) grp[MinReg[r].getRowNum()] = 1;

        String rstat[] = {
          "relaxed optimum found", "relaxed problem infeasible",
          "relaxed problem unbounded", "solution nonoptimal for original objective",
          "error", "numerical instability"
        };
        IntHolder repstatus = new IntHolder();
        for (double delta = 0.001; delta < 10; delta *= 10) {
          op.repairWeightedInfeas(repstatus, lrp, grp, lbp, ubp, 'd', delta, "");
          System.out.println("delta = " + delta + ": Status: " + rstat[repstatus.value]);
          if (repstatus.value == 0) {
            p.sync(XPRB.XPRS_SOLMIP);
            print_sol_opt(p);
            print_violated(AllCtrs);
          }
          System.out.println();
        }
      }
    }
  }

  /**************************Solution printing****************************/

  static void print_sol_opt(XPRBprob p) {
    System.out.println("  Total return: " + p.getObjVal());
    for (int s = 0; s < NSHARES; s++)
      if (buy[s].getSol() > 0.5)
        System.out.printf(
            "  %s: %g%% (%g)\n", SHARES_n[s], frac[s].getSol() * 100, buy[s].getSol());
  }

  static void print_violated(ArrayList<XPRBctr> ctrs) {
    System.out.println(" Violated (relaxed) constraints:");
    for (XPRBctr c : ctrs) {
      String type;
      double viol, slack = c.getSlack();
      switch (c.getType()) {
        case XPRB.E:
          viol = Math.abs(slack);
          type = " =";
          break;
        case XPRB.G:
          viol = slack;
          type = ">=";
          break;
        case XPRB.L:
          viol = -slack;
          type = "<=";
          break;
        default:
          System.out.println("  unexpected constraint type");
          continue;
      }
      if (viol > 1e-6) System.out.printf("  %s constraint %s by %g\n", type, c.getName(), -slack);
    }
  }

  /***********************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();
  }
}