/******************************************************** Xpress-BCL C++ Example Problems =============================== file folioiis.cpp ````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.cpp. -- Infeasible model parameter values -- -- Retrieving IIS -- (c) 2009 Fair Isaac Corporation author: S.Heipcke, June 2009, rev. Mar. 2011 ********************************************************/ #include <iostream>
#include <cstdio>
#include <cstdlib>
#include <cstring>
#include <cctype>
#include "xprb_cpp.h"
#include "xprs.h"

using namespace std;
using namespace ::dashoptimization;

#define MAXNUM 5                   // Max. number of different assets 
#define MAXRISK 1/3              // Max. investment into high-risk values 
#define MINREG 0,1                 // Min. investment per geogr. region 
#define MAXREG 0,2                 // Max. investment per geogr. region 
#define MAXSEC 0,1                 // Max. investment per ind. sector 
#define MAXVAL 0,2                 // Max. investment per share 
#define MINVAL 0,1                 // Min. investment per share 

#define DATAFILE "folio10.cdat"    // File with problem data 
#define MAXENTRIES 10000           


int NSHARES;                       // Number of shares 
int NRISK;                         // Number of high-risk shares 
int NREGIONS;                      // Number of geographical regions  
int NTYPES;                        // Number of share types  

double *RET;                       // Estimated return in investment  
int *RISK;                         // High-risk values among shares  
char **LOC;                        // Geogr. region of shares  
char **SECT;                        // Industry sector of shares  

char **SHARES_n;
char **REGIONS_n;
char **TYPES_n;

#include "readfoliodata.c_"


int main(int argc, char **argv)
{
 int s,r,t;
 XPRBprob p("FolioMIP3inf");       // Initialize a new problem in BCL
 XPRBctr Risk,Return,Num,*MinReg, *MaxReg, *LimSec;
 XPRBexpr le, le2, Cap, LinkL, LinkU;
 XPRBvar *frac;                    // Fraction of capital used per share
 XPRBvar *buy;                     // 1 if asset is in portfolio, 0 otherwise

 readdata(DATAFILE);               // Data input from file 

// Create the decision variables (including upper bounds for `frac')
 frac = new XPRBvar[NSHARES];
 buy = new XPRBvar[NSHARES];
 for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac", buy[s]=p.newVar("buy", Objective: total return for(s=0;s<NSHARES;s++) le +=RET[s]*frac[s]; Return=p.newCtr(le); Set the objective function Limit percentage of high-risk values Risk=p.newCtr("Risk", <=MAXRISK); Limits on geographical distribution MinReg=new MaxReg=new for(r=0;r<NREGIONS;r++) le2=0;>0) 
   {
    le += frac[s]; 
    le2 += frac[s];
   } 
  MinReg[r] = p.newCtr(XPRBnewname("MinReg(%s)",REGIONS_n[r]), le >= MINREG);
  MaxReg[r] = p.newCtr(XPRBnewname("MaxReg(%s)",REGIONS_n[r]), le2 <= MAXREG);
 } 

// Diversification across industry sectors
 LimSec = new XPRBctr[NTYPES];
 for(t=0;t<NTYPES;t++) le=0; for(s=0;s<NSHARES;s++)>0) le += frac[s]; 
  LimSec[t] = p.newCtr(XPRBnewname("LimSec(%s)",TYPES_n[t]), le <= MAXSEC);
 }
 
// Spend all the capital
 for(s=0;s<NSHARES;s++) Cap +=frac[s]; Limit the total number of assets le=0; for(s=0;s<NSHARES;s++) Num=p.newCtr("Num", <=MAXNUM); Linking variables>= MINVAL*buy[s]); } // Solve the problem (LP) p.setSense(XPRB_MAXIM); p.lpOptimize(""); if (p.getLPStat()==XPRB_LP_INFEAS) { cout << "LP infeasible. Retrieving IIS." << endl; int numiis = p.getNumIIS(); // Get the number of independent IIS cout << "Number of IIS: " << numiis << endl; XPRSprob op = p.getXPRSprob(); // Retrieve the Optimizer problem /**** Obtain variable and constraint names for use in printout ****/ int ncol, nrow, len, numc, numv, i; char *vnames, *cnames; int *viis,*ciis; char **vindex,**cindex; // Retrieve variable names XPRSgetintattrib(op, XPRS_ORIGINALCOLS, &ncol); XPRSgetnamelist(op, 2, NULL, 0, &len, 0, ncol-1); // Get number of bytes required for retrieving names vnames = new char[len]; vindex = new char*[ncol]; XPRSgetnamelist(op, 2, vnames, len, NULL, 0, ncol-1); vindex[0]=vnames; for(i=1; i<ncol; vindex[i]=vindex[i-1]+strlen(vindex[i-1])+1; Retrieve constraint names cnames=new cindex=new cindex[0]=cnames; for(i=1; cindex[i]=cindex[i-1]+strlen(cindex[i-1])+1; variables and constraints contained in IIS for(s=1;s<=numiis;s++) ciis=new viis=new cout <<="IIS " s numv numc if>0)
   {
    cout << "  Variables: ";      // Print all variables in the IIS
    for(i=0;i<numv;i++) cout <<=" " delete Free the array of variables if>0)
   {
    cout << "  Constraints: ";    // Print all constraints in the IIS
    for(i=0;i<numc;i++) cout << cindex[ciis[i]] << " ";
    cout << endl;
    delete [] ciis;               // Free the array of constraints
   } 
  }
  delete [] vnames;
  delete [] cnames;
  delete [] vindex;
  delete [] cindex;

 }

 return 0;
}