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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 folioheur.java /******************************************************** Xpress-BCL Java Example Problems ================================ file folioheur.java ``````````````````` Modeling a small LP problem to perform portfolio optimization. -- Heuristic solution -- (c) 2008-2024 Fair Isaac Corporation author: S.Heipcke, 2003, rev. Dec. 2011 ********************************************************/ import com.dashoptimization.*; public class folioheur { static final int MAXNUM = 4; /* Max. number of different assets */ static final int NSHARES = 10; /* Number of shares */ static final int NRISK = 5; /* Number of high-risk shares */ static final int NNA = 4; /* Number of North-American shares */ static final double[] RET = {5,17,26,12,8,9,7,6,31,21}; /* Estimated return in investment */ static final int[] RISK = {1,2,3,8,9}; /* High-risk values among shares */ static final int[] NA = {0,1,2,3}; /* Shares issued in N.-America */ 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 XPRSprobException, XPRSexception { int s; XPRBexpr Risk,Na,Return,Cap,Num; try (XPRBprob p = new XPRBprob("FolioMIPHeur"); /* 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, 0.3); 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(1.0/3)); /* Minimum amount of North-American values */ Na = new XPRBexpr(); for(s=0;s<NNA;s++) Na.add(frac[NA[s]]); p.newCtr(Na.gEql(0.5)); /* 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])); /* Solve problem heuristically */ p.setSense(XPRB.MAXIM); solveHeur(p); /* Solve the problem */ p.mipOptimize(""); /* Solution printing */ if(p.getMIPStat()==XPRB.MIP_SOLUTION || p.getMIPStat()==XPRB.MIP_OPTIMAL) { System.out.println("Exact solution: Total return: " + p.getObjVal()); for(s=0;s<NSHARES;s++) System.out.println(s + ": " + frac[s].getSol()*100 + "%"); } else System.out.println("Heuristic solution is optimal."); /* Delete the problem */ } } static void solveHeur(XPRBprob p) throws XPRSprobException { XPRSprob op; XPRBbasis basis; int s, ifgsol; double solval,TOL; double[] fsol; op = p.getXPRSprob(); /* Retrieve the Optimizer problem */ op.setIntControl(XPRS.CUTSTRATEGY, 0); /* Disable automatic cuts */ op.setIntControl(XPRS.PRESOLVE, 0); /* Switch presolve off */ TOL = op.getDblControl(XPRS.FEASTOL); /* Get feasibility tolerance */ p.mipOptimize("l"); /* Solve the LP-problem */ basis=p.saveBasis(); /* Save the current basis */ /* Fix all variables `buy' for which `frac' is at 0 or at a relatively large value */ fsol = new double[NSHARES]; for(s=0;s<NSHARES;s++) { fsol[s]=frac[s].getSol(); /* Get the solution values of `frac' */ if(fsol[s] < TOL) buy[s].setUB(0); else if(fsol[s] > 0.2-TOL) buy[s].setLB(1); } p.mipOptimize("c"); /* Continue solving the MIP-problem */ ifgsol=0; solval=0; if(p.getMIPStat()==XPRB.MIP_SOLUTION || p.getMIPStat()==XPRB.MIP_OPTIMAL) { /* If an integer feas. solution was found */ ifgsol=1; solval=p.getObjVal(); /* Get the value of the best solution */ System.out.println("Heuristic solution: Total return: " + p.getObjVal()); for(s=0;s<NSHARES;s++) System.out.println(s + ": " + frac[s].getSol()*100 + "%"); } /* Reset variables to their original bounds */ for(s=0;s<NSHARES;s++) if((fsol[s] < TOL) || (fsol[s] > 0.2-TOL)) { buy[s].setLB(0); buy[s].setUB(1); } p.loadBasis(basis); /* Load the saved basis: bound changes are immediately passed on from BCL to the Optimizer if the problem has not been modified in any other way, so that there is no need to reload the matrix */ basis = null; /* No need to store the saved basis any longer */ if(ifgsol==1) op.setDblControl(XPRS.MIPABSCUTOFF, solval+TOL); /* Set the cutoff to the best known solution */ } } | |||||||||
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