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

  file foliodata.c
  ````````````````
  Modeling a small LP problem
  to perform portfolio optimization.
  -- Data input from file --

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

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

#define DATAFILE XPRBDATAPATH "/GS/foliocpplp.dat"

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

double RET[NSHARES];                 /* Estimated return in investment */
char RISK[][100] = {"hardware", "theater", "telecom", "software",
                    "electronics"};  /* High-risk values among shares */
char NA[][100] = {"treasury", "hardware", "theater", "telecom"};
                                     /* Shares issued in N.-America */

XPRBidxset SHARES;                   /* Set of shares */

XPRBprob prob;

void readData(void)
{
 double value;
 int s;
 FILE *datafile;
 char name[100];
                                     /* Create the `SHARES' index set */
 SHARES = XPRBnewidxset(prob, "Shares", NSHARES);

/* Read `RET' data from file */
 datafile = fopen(DATAFILE,"r");
 for(s=0;s<NSHARES;s++)
 {
  XPRBreadlinecb(XPRB_FGETS, datafile, 200, "T g", name, &value);
  RET[XPRBaddidxel(SHARES, name)] = value;
 }
 fclose(datafile);

 XPRBprintidxset(SHARES);            /* Print out the set contents */
}

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

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

/* Read data from file */
 readData();

/* Create the decision variables */
 for(s=0;s<NSHARES;s++)
  frac[s] = XPRBnewvar(prob, XPRB_PL, "frac", 0, XPRB_INFINITY);

/* 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[XPRBgetidxel(SHARES,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[XPRBgetidxel(SHARES,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);

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

 return 0;
}