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

  file folioarr.c
  ```````````````
  Modeling a small LP problem
  to perform portfolio optimization.
  -- Array-based formulation --

  (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;
 XPRBarrvar frac;                    /* Fraction of capital used per share */

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

/* Create the decision variables */
 frac = XPRBnewarrvar(prob, NSHARES, XPRB_PL, "frac", 0, XPRB_INFINITY);

/* Objective: total return */
 Return = XPRBnewarrsum(prob, "Return", frac, RET, XPRB_N, 0);
 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 = XPRBnewsum(prob, "Cap", frac, XPRB_E, 1);

/* Upper bounds on the investment per share */
 for(s=0;s<NSHARES;s++) XPRBsetub(frac[s], 0,3);

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

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

 return 0;
}