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

  file foliomip2.c
  ````````````````
  Modeling a small MIP problem 
  to perform portfolio optimization.
  -- Imposing a minimum investment per share --

  (c) 2008 Fair Isaac Corporation
      author: S.Heipcke, Dec. 2003, rev. Mar. 2011
********************************************************/

#include <stdio.h>
#include "xprb.h"

#define NSHARES 10                 /* Number of shares */
#define NRISK 5                    /* Number of high-risk shares */
#define NNA 4                      /* Number of North-American shares */

double RET[] = {5,17,26,12,8,9,7,6,31,21};  /* Estimated return in investment */
int RISK[] = {1,2,3,8,9};          /* High-risk values among shares */
int NA[] = {0,1,2,3};              /* Shares issued in N.-America */

int main(int argc, char **argv)
{
 int s;
 XPRBprob prob;         
 XPRBctr Risk,Na,Return,Cap;
 XPRBvar frac[NSHARES];            /* Fraction of capital used per share */

 prob = XPRBnewprob("FolioSC");    /* Initialize a new problem in BCL */

/* Create the decision variables */
 for(s=0;s<NSHARES;s++) 
 {
  frac[s] = XPRBnewvar(prob, XPRB_SC, "frac", 0, 0,3);
  XPRBsetlim(frac[s], 0,1);
 } 
 
/* Objective: total return */
 Return = XPRBnewctr(prob, "Return", XPRB_N);
 for(s=0;s<NSHARES;s++) XPRBaddterm(Return, frac[s], RET[s]); 
 XPRBsetobj(prob,Return);          /* Set the objective function */

/* Limit the percentage of high-risk values */
 Risk = XPRBnewctr(prob, "Risk", XPRB_L);
 for(s=0;s<NRISK;s++) XPRBaddterm(Risk, frac[RISK[s]], 1); 
 XPRBaddterm(Risk, NULL, 1/3);

/* Minimum amount of North-American values */
 Na = XPRBnewctr(prob, "NA", XPRB_G);
 for(s=0;s<NNA;s++) XPRBaddterm(Na, frac[NA[s]], 1); 
 XPRBaddterm(Na, NULL, 0,5);

/* Spend all the capital */
 Cap = XPRBnewctr(prob, "Cap", XPRB_E);
 for(s=0;s<NSHARES;s++) XPRBaddterm(Cap, frac[s], 1); 
 XPRBaddterm(Cap, NULL, 1);

/* Solve the problem */
 XPRBsetsense(prob, XPRB_MAXIM);
 XPRBmipoptimize(prob, "");

/* Solution printing */
 printf("Total return: %g\n", XPRBgetobjval(prob));
 for(s=0;s<NSHARES;s++) 
  printf(" %d : %g%%\n", s, XPRBgetsol(frac[s])*100);

 return 0;
}