/******************************************************** Xpress-BCL C++ Example Problems =============================== file foliosolpool.cpp ``````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.cpp. -- Using the MIP solution pool -- (c) 2009 Fair Isaac Corporation author: S.Heipcke, May 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 7                   // Max. number of different assets 
#define MAXRISK 1/3              // Max. investment into high-risk values 
#define MINREG 0,2                 // Min. investment per geogr. region 
#define MAXREG 0,5                 // Max. investment per geogr. region 
#define MAXSEC 0,25                // 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;

XPRBvar *frac;                     // Fraction of capital used per share
XPRBvar *buy;                      // 1 if asset is in portfolio, 0 otherwise
XPRBctr Return;

#include "readfoliodata.c_"

void print_sol(int num);

int main(int argc, char **argv)
{
 int s,r,t;
 XPRBprob p("FolioMIP3");          // Initialize a new problem in BCL
 XPRBexpr Risk,Cap,Num,le;
 XPRBexpr *MinReg, *MaxReg, *LimSec, LinkL, LinkU;

 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 <=MAXRISK); Limits on geographical distribution MinReg=new MaxReg=new for(r=0;r<NREGIONS;r++)>0) 
   {
    MinReg[r] += frac[s]; 
    MaxReg[r] += frac[s];
   } 
  p.newCtr(MinReg[r] >= MINREG);
  p.newCtr(MaxReg[r] <= MAXREG);
 } 

// Diversification across industry sectors
 LimSec = new XPRBexpr[NTYPES];
 for(t=0;t<NTYPES;t++) for(s=0;s<NSHARES;s++)>0) LimSec[t] += frac[s]; 
  p.newCtr(LimSec[t] <= MAXSEC);
 }
 
// Spend all the capital
 for(s=0;s<NSHARES;s++) Cap +=frac[s]; p.newCtr(Cap== Limit the total number of assets for(s=0;s<NSHARES;s++) Num <=MAXNUM); Linking variables>= MINVAL*buy[s]);
 }
 

// Create a MIP solution pool and attach it to the problem 
// (so it collects the solutions) 
 XPRSmipsolpool msp;
 XPRS_msp_create(&msp);
 XPRS_msp_probattach(msp, p.getXPRSprob());

// Avoid storing of duplicate solutions (3: compare discrete variables only) 
 XPRS_msp_setintcontrol(msp, XPRS_MSP_DUPLICATESOLUTIONSPOLICY, 3);
 
// Solve the problem
 p.setSense(XPRB_MAXIM);
 p.mipOptimize("");

// Setup some resources to iterate through the solutions stored 
// in the MIP solution pool 
 int nSols, nCols, i;
 double *xsol;
 int *solIDs;
 XPRSgetintattrib(p.getXPRSprob(), XPRS_ORIGINALCOLS, &nCols);
 XPRS_msp_getintattrib(msp, XPRS_MSP_SOLUTIONS, &nSols);
 xsol = (double *) malloc(nCols * sizeof(double));
 solIDs = (int *) malloc(nSols * sizeof(int));

                                         // Get the solution IDs 
 XPRS_msp_getsollist(msp, p.getXPRSprob(), XPRS_MSP_SOLPRB_OBJ, 1, 1,
		     nSols, solIDs, &nSols, NULL);

// Display all solutions from the pool 
 for(i=0; i<nSols; Get the solution nCols Load into BCL Display return Solution printing void int cout <<="Solution " num for(s=0;s<NSHARES;s++)>0,5)
   cout << "  " << SHARES_n[s] << ": " << frac[s].getSol()*100 << "% (" 
        << buy[s].getSol() << ")" << endl;  
}