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Portfolio - Quadratic Programming with discrete variables

Description
Quadratic Mixed Integer Programming example demonstrating Quadratic Programming with discrete variables.

xbportfjava.zip[download all files]

Source Files

Data Files





pfqcost.dat

1,1,0.236475
1,2,0.00544959
1,3,-0.0015938
1,4,0.00385949
1,5,0.00998779
1,6,0.0272276
1,7,0.00678626
1,8,0.00812755
1,9,0.00721685
1,10,-0.00577065
1,11,-0.00438916
1,12,0.000579788
1,13,0.00544991
1,14,0.000948946
1,15,0.00120301
1,16,0.00196386
1,17,-0.0000292893
1,18,0.00606698
1,19,0.0171756
1,20,0.00857961
1,21,0.01653
1,22,-0.000416145
1,23,0.00273993
1,24,-0.00663182
1,25,0.00122421
1,26,0.00563303
1,27,0.00260822
1,28,-0.00296743
1,29,-0.00839848
1,30,-0.00109581
2,2,0.0517845
2,3,0.00253126
2,4,0.00954259
2,5,-0.000442303
2,6,0.00477891
2,7,0.000914074
2,8,0.00173405
2,9,-0.00131021
2,10,0.00621714
2,11,0.00208502
2,12,0.0026556
2,13,0.00251188
2,14,0.000906543
2,15,-0.000643062
2,16,0.00381154
2,17,0.0000733602
2,18,0.00313963
2,19,0.0020433
2,20,-0.0000637777
2,21,-0.0029619
2,22,0.00140341
2,23,-0.000218917
2,24,0.00664863
2,25,-0.00606271
2,26,0.000119431
2,27,0.00125863
2,28,-0.00203463
2,29,-0.00344363
2,30,0.00406614
3,3,0.0444054
3,4,0.00125664
3,5,-0.00563838
3,6,0.00126228
3,7,-0.0035819
3,8,-0.00686847
3,9,0.00155998
3,10,0.00350724
3,11,0.00302103
3,12,-0.000955364
3,13,-0.000202571
3,14,0.00105226
3,15,-0.00136965
3,16,-0.000915062
3,17,0.00080061
3,18,0.00438
3,19,0.000820906
3,20,-0.002119
3,21,-0.00354206
3,22,0.000091182
3,23,-0.000509974
3,24,0.00130856
3,25,0.000684495
3,26,-0.000606097
3,27,0.000875474
3,28,-0.00167704
3,29,-0.00203656
3,30,-0.00189238
4,4,0.0291515
4,5,0.0083994
4,6,0.00604535
4,7,0.00159876
4,8,0.000226675
4,9,-0.00000672605
4,10,0.00468009
4,11,-0.000997633
4,12,-0.00149751
4,13,-0.0024307
4,14,-0.000590726
4,15,0.00102328
4,16,0.00439125
4,17,0.00144483
4,18,0.00570689
4,19,0.0026257
4,20,0.00115539
4,21,-0.00148213
4,22,-0.000403109
4,23,-0.000321132
4,24,0.00644091
4,25,0.000293312
4,26,0.00142982
4,27,0.000445827
4,28,-0.00305771
4,29,-0.00227687
4,30,0.00393261
5,5,0.103515
5,6,0.0128569
5,7,0.00604964
5,8,0.00484167
5,9,0.00404744
5,10,0.00523736
5,11,0.00613228
5,12,0.00303305
5,13,-0.00416038
5,14,0.00206946
5,15,0.0102645
5,16,0.0284519
5,17,0.00392357
5,18,0.024965
5,19,0.0150469
5,20,0.00836841
5,21,0.000431411
5,22,0.00793669
5,23,0.00272943
5,24,0.00712863
5,25,0.00403823
5,26,0.00256886
5,27,0.00217576
5,28,0.00502332
5,29,-0.000316213
5,30,0.000107124
6,6,0.028317
6,7,0.00525451
6,8,0.00374616
6,9,0.00168214
6,10,0.00284142
6,11,0.00328182
6,12,-0.000143434
6,13,-0.00186804
6,14,0.000944349
6,15,0.00123509
6,16,0.00613963
6,17,0.00142481
6,18,0.0177393
6,19,0.00993464
6,20,0.00266746
6,21,0.00143482
6,22,0.00213595
6,23,0.000486056
6,24,0.0101648
6,25,0.00018091
6,26,0.00289631
6,27,0.00382865
6,28,0.00207596
6,29,-0.00563002
6,30,-0.000366799
7,7,0.0301226
7,8,0.00350901
7,9,0.000321882
7,10,0.00546529
7,11,0.00177331
7,12,0.000531306
7,13,0.000329739
7,14,0.000755232
7,15,-0.000123884
7,16,0.00450664
7,17,0.00219229
7,18,-0.00200455
7,19,0.00651742
7,20,0.0046853
7,21,0.0016103
7,22,0.000606873
7,23,0.00162265
7,24,-0.000966698
7,25,-0.000140822
7,26,0.00105496
7,27,0.000480689
7,28,0.00160129
7,29,0.000619142
7,30,0.000744012
8,8,0.017741
8,9,0.000579612
8,10,-0.00085981
8,11,-0.000955661
8,12,-0.000505322
8,13,0.0014132
8,14,0.0000248659
8,15,-0.000671757
8,16,0.0036867
8,17,0.00144337
8,18,0.00693608
8,19,0.00371885
8,20,0.00101417
8,21,0.00172974
8,22,0.00194226
8,23,0.00103851
8,24,0.00456858
8,25,0.00209789
8,26,0.0029937
8,27,0.0000320765
8,28,0.000583955
8,29,-0.00756808
8,30,-0.00236377
9,9,0.0164841
9,10,-0.000181563
9,11,-0.00132336
9,12,0.000854082
9,13,0.000748549
9,14,0.00131231
9,15,0.00026936
9,16,0.000403297
9,17,0.00360996
9,18,0.0064885
9,19,0.00219873
9,20,0.00215557
9,21,-0.000447774
9,22,-0.000397157
9,23,0.000326919
9,24,0.00343489
9,25,0.00283286
9,26,0.000402049
9,27,0.000832728
9,28,0.000379563
9,29,0.00473798
9,30,-0.000198599
10,10,0.0340876
10,11,0.00000733691
10,12,-0.000591344
10,13,-0.000187349
10,14,0.00103895
10,15,-0.00112531
10,16,0.00112036
10,17,0.0021299
10,18,-0.00407292
10,19,0.000791014
10,20,-0.000582485
10,21,0.00455429
10,22,0.00428857
10,23,0.000609382
10,24,0.0060331
10,25,-0.00144271
10,26,0.00202185
10,27,0.000293159
10,28,-0.00114721
10,29,0.0000443534
10,30,0.00237135
11,11,0.0180597
11,12,0.000235298
11,13,-0.00282883
11,14,0.000598103
11,15,0.00116408
11,16,-0.000107248
11,17,-0.00103619
11,18,-0.00407551
11,19,0.00110385
11,20,-0.00136891
11,21,-0.00108626
11,22,0.00226889
11,23,0.000374374
11,24,-0.00120594
11,25,-0.0000987068
11,26,0.00115986
11,27,0.000744447
11,28,-0.000282603
11,29,0.00219711
11,30,0.00222832
12,12,0.0133229
12,13,-0.0000994057
12,14,-0.000645447
12,15,0.000172304
12,16,0.000994781
12,17,-0.000391554
12,18,-0.00193678
12,19,0.00270901
12,20,0.00299088
12,21,0.00153043
12,22,0.000126212
12,23,-0.0000838202
12,24,-0.00161802
12,25,-0.00170556
12,26,-0.0004278
12,27,0.0000682762
12,28,-0.00000993458
12,29,-0.0000407196
12,30,-0.0000547333
13,13,0.0222961
13,14,0.00118185
13,15,-0.000905727
13,16,-0.0000285897
13,17,0.000847404
13,18,-0.00189592
13,19,-0.000442173
13,20,0.000199973
13,21,0.00277389
13,22,0.0012039
13,23,0.0000923215
13,24,0.00143368
13,25,-0.000403862
13,26,0.000625699
13,27,-0.000377629
13,28,0.000760751
13,29,-0.00108867
13,30,-0.00251413
14,14,0.0112684
14,15,-0.000389168
14,16,0.00150449
14,17,0.00161708
14,18,0.00305877
14,19,0.00213183
14,20,0.0000151212
14,21,-0.000454376
14,22,0.000087176
14,23,0.000078824
14,24,0.00587919
14,25,0.00323779
14,26,0.000896134
14,27,-0.0000400425
14,28,-0.00014763
14,29,0.00345623
14,30,-0.000627914
15,15,0.00908971
15,16,0.00180873
15,17,-0.000549469
15,18,-0.00178818
15,19,0.00170504
15,20,0.00105685
15,21,-0.00077655
15,22,0.000417455
15,23,-0.0000590117
15,24,-0.00039651
15,25,-0.000123953
15,26,-0.000620681
15,27,-0.0000596117
15,28,0.00262604
15,29,-0.000676033
15,30,-0.000589348
16,16,0.0487416
16,17,0.00377471
16,18,0.0179175
16,19,0.00759402
16,20,0.0035489
16,21,0.00126008
16,22,0.00436067
16,23,0.00122413
16,24,0.000893908
16,25,0.0019956
16,26,-0.0000184544
16,27,0.00477747
16,28,-0.00361283
16,29,-0.00283427
16,30,-0.00126415
17,17,0.0081566
17,18,0.0038504
17,19,0.00183483
17,20,-0.000309999
17,21,0.00213784
17,22,0.000718204
17,23,0.00100328
17,24,0.00302632
17,25,0.00115021
17,26,0.00105239
17,27,0.000620865
17,28,-0.000298084
17,29,0.00114622
17,30,0.000241247
18,18,0.147637
18,19,0.0134744
18,20,0.00837399
18,21,-0.00186619
18,22,0.0119045
18,23,0.000493323
18,24,0.0165146
18,25,0.00503409
18,26,0.00249401
18,27,0.00628627
18,28,0.00161623
18,29,-0.00658964
18,30,0.000954727
19,19,0.0203434
19,20,0.00548736
19,21,0.00132499
19,22,0.00504226
19,23,0.0015643
19,24,0.00630398
19,25,0.00185118
19,26,0.0011596
19,27,0.00188612
19,28,0.00133663
19,29,-0.000314744
19,30,0.000651858
20,20,0.017495
20,21,0.000530339
20,22,0.00324318
20,23,0.000747204
20,24,-0.000381942
20,25,0.000351689
20,26,-0.000241934
20,27,-0.00008912
20,28,0.00201551
20,29,0.000501564
20,30,0.00133053
21,21,0.0404691
21,22,0.00248399
21,23,0.000720612
21,24,-0.000926154
21,25,0.00329615
21,26,0.00322232
21,27,0.0017116
21,28,-0.000313065
21,29,0.00271657
21,30,-0.00053437
22,22,0.0361155
22,23,0.000574416
22,24,0.00131707
22,25,-0.00255421
22,26,0.00252785
22,27,0.000639422
22,28,0.00193451
22,29,-0.00303096
22,30,0.000341376
23,23,0.00335396
23,24,0.00116067
23,25,-0.000154031
23,26,0.000305439
23,27,0.000942904
23,28,0.000121357
23,29,0.00406408
23,30,0.00125492
24,24,0.0576225
24,25,0.00212893
24,26,0.00364513
24,27,0.00184922
24,28,-0.00316046
24,29,-0.001494
24,30,-0.00224683
25,25,0.0233173
25,26,0.00191716
25,27,-0.00038703
25,28,0.00195559
25,29,0.00195705
25,30,0.00292372
26,26,0.0146922
26,27,0.000761893
26,28,-0.0000885721
26,29,-0.00532767
26,30,-0.0027264
27,27,0.00942803
27,28,-0.000268703
27,29,0.00210038
27,30,0.000405299
28,28,0.0330225
28,29,-0.00193476
28,30,-0.00272108
29,29,0.0572842
29,30,0.00648998
30,30,0.0234047

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