/******************************************************** Xpress-BCL Java Example Problems ================================ file foliorep.java `````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.java. -- Infeasible model parameter values -- -- Retrieving IIS -- (c) 2009 Fair Isaac Corporation author: S.Heipcke, June 2009, rev. Nov. 2014 ********************************************************/ import java.io.*; import java.lang.*; import java.util.*; import com.dashoptimization.*; public class foliorep { static final String DATAFILE = "folio10.cdat"; static final int MAXNUM = 4; /* Max. number of different assets */ static final double MAXRISK = 1/3; /* Max. investment into high-risk values */ static final double MINREG = 0,3; /* Min. investment per geogr. region */ static final double MAXREG = 0,5; /* Max. investment per geogr. region */ static final double MAXSEC = 0,15; /* Max. investment per ind. sector */ static final double MAXVAL = 0,2; /* Max. investment per share */ static final double MINVAL = 0,1; /* Min. investment per share */ static int NSHARES; /* Number of shares */ static int NRISK; /* Number of high-risk shares */ static int NREGIONS; /* Number of geographical regions */ static int NTYPES; /* Number of share types */ static double[] RET; /* Estimated return in investment */ static int[] RISK; /* High-risk values among shares */ static boolean LOC[][]; /* Geogr. region of shares */ static boolean SEC[][]; /* Industry sector of shares */ static String SHARES_n[]; static String REGIONS_n[]; static String TYPES_n[]; static XPRBvar[] frac; /* Fraction of capital used per share */ static XPRBvar[] buy; /* 1 if asset is in portfolio, 0 otherwise */ public static void main(String[] args) throws IOException { int s,t,r; XPRBexpr LinkL, LinkU, le, le2; XPRBctr Risk,Return,Cap,Num; XPRBctr[] MinReg, MaxReg, LimSec; ArrayList<XPRBctr> AllCtrs = new ArrayList<XPRBctr>(); /* Array of ctrs that will be allowed to be relaxed */

        try {
            readData();                     /* Read data from file */
        }
        catch(IOException e) {
            System.err.println(e.getMessage());
            System.exit(1);
        }

        try (XPRBprob p = new XPRBprob("FolioMIP3inf"); /* Initialize BCL and create a new problem */
             XPRS xprs = new XPRS()) {                  /* Initialize Xpress-Optimizer */

            /* Create the decision variables */
            frac = new XPRBvar[NSHARES];
            buy = new XPRBvar[NSHARES];
            for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac_"+SHARES_n[s], buy[s]=p.newVar("buy_"+SHARES_n[s], Objective: total return le=new for(s=0;s<NSHARES;s++) Return=p.newCtr("Return", Set the objective function Limit percentage of high-risk values AllCtrs.add(Risk=p.newCtr("Risk", Limits on geographical distribution MinReg=new MaxReg=new for(r=0;r<NREGIONS;r++) le2=new AllCtrs.add(MinReg[r]=p.newCtr("MinReg("+REGIONS_n[r]+")", AllCtrs.add(MaxReg[r]=p.newCtr("MaxReg("+REGIONS_n[r]+")", Diversification across industry sectors LimSec=new for(t=0;t<NTYPES;t++) AllCtrs.add(LimSec[t]=p.newCtr("LimSec("+TYPES_n[t]+")", Spend all capital Cap=p.newCtr("Cap", number assets AllCtrs.add(Num=p.newCtr("Num", Linking variables Solve problem if (p.getLPStat()==XPRB.LP_INFEAS) infeasible. Start infeasibility XPRSprob op=p.getXPRSprob(); Retrieve Optimizer Must use weighted repair method since only some constraints each type may be relaxed lrp: (affects=and <=rows) ax aux_var=b grp:>= rows)
                  ax + aux_var  = b
                  ax + aux_var >= b
                  lbp:
                  x_i + aux_var >= l
                  ubp:
                  x_i - aux_var <= u
                */

                int nrow, ncol;
                double[] lrp, grp, lbp, ubp;
                ncol=op.getIntAttrib(XPRS.ORIGINALCOLS);
                nrow=op.getIntAttrib(XPRS.ORIGINALROWS);
                lrp = new double[nrow];
                grp = new double[nrow];
                lbp = new double[ncol];
                ubp = new double[ncol];

                lrp[Risk.getRowNum()] = 1;
                for(r=0;r<NREGIONS;r++) lrp[MaxReg[r].getRowNum()]=1; for(t=0;t<NTYPES;t++) lrp[LimSec[t].getRowNum()]=1; lrp[Num.getRowNum()]=1; for(r=0;r<NREGIONS;r++) grp[MinReg[r].getRowNum()]=1; String rstat[]={"relaxed optimum found",="relaxed problem infeasible" ,="relaxed problem unbounded" IntHolder repstatus=new for delta=0.001; delta*=10) ubp,='d' delta,="" System.out.println("delta=" + delta + " : Status:=" +
                                       rstat[repstatus.value]);
                    if (repstatus.value==0) {
                        p.sync(XPRB.XPRS_SOLMIP);
                        print_sol_opt(p);
                        print_violated(AllCtrs);
                    }
                    System.out.println();
                }
            }

        }
    }

    /**************************Solution printing****************************/

    static void print_sol_opt(XPRBprob p) {
        System.out.println(" Total return:>0,5)
                System.out.printf("  %s: %g%% (%g)\n", SHARES_n[s], frac[s].getSol()*100, buy[s].getSol());
    }

    static void print_violated(ArrayList<XPRBctr> ctrs) {
        System.out.println(" Violated (relaxed) constraints:");
        for (XPRBctr c: ctrs) {
            String type;
            double viol, slack = c.getSlack();
            switch (c.getType()) {
            case XPRB.E: viol = Math.abs(slack); type = " ="; break;
            case XPRB.G: viol = slack;           type = ">="; break;
            case XPRB.L: viol = -slack;          type = "<="; break;
            default: System.out.println("  unexpected constraint type"); continue;
            }
            if (viol > 1e-6) System.out.printf("  %s constraint %s by %g\n", type, c.getName(), -slack);
        }
    }

    /***********************Data input routines***************************/

    /***************************/
    /* Input a list of strings */
    /***************************/
    private static String [] read_str_list(StreamTokenizer st) throws IOException {
        LinkedList<String> l=new LinkedList<String>();

        st.nextToken();                  /* Skip ':' */
        while(st.nextToken()==st.TT_WORD) {
            l.addLast(st.sval);
        }

        String a[]=new String[l.size()];
        l.toArray(a);
        return a;
    }

    /************************/
    /* Input a list of ints */
    /************************/
    private static int [] read_int_list(StreamTokenizer st) throws IOException {
        LinkedList<Integer> l=new LinkedList<Integer>();

        st.nextToken();                  /* Skip ':' */
        while(st.nextToken()==st.TT_NUMBER) {
            l.addLast((int)st.nval);
        }

        int a[]=new int[l.size()];
        for(int i=0;i<l.size();i++) a[i]=((Integer)l.get(i)).intValue(); return Input a table of doubles private static void throws IOException int n=0; Skip=':' while(st.nextToken()==st.TT_NUMBER) tbl[n++]=st.nval; sparse booleans boolean tbl[][]=new r=0;r<nrow;r++) tbl[r][(int)st.nval]=true; FileReader datafile=null; StreamTokenizer st=null; Open the data file Initialize stream tokenizer Use character='!' for comments Return end-of-line Read numbers as while st.nextToken()== st.TT_WORD if NSHARES==0) SHARES_n=read_str_list(st); else NREGIONS==0) REGIONS_n=read_str_list(st); NTYPES==0) TYPES_n=read_str_list(st); NRISK==0) RISK=read_int_list(st);>0) {
                                RET=new double[NSHARES];
                                read_dbl_table(st,RET);
                            }
                            else
                                if ( st.sval.equals("LOC") && NSHARES>0 && NREGIONS>0)
                                    LOC=read_bool_table(st,NREGIONS,NSHARES);
                                else
                                    if ( st.sval.equals("SEC") && NSHARES>0 && NTYPES>0)
                                        SEC=read_bool_table(st,NTYPES,NSHARES);
                                    else
                                        break;
        }

        /*
          for(int i=0;i<NREGIONS;i++) {
          for(int j=0;j<NSHARES;j++)
          System.out.print(" "+LOC[i][j]);
          System.out.println();
          }
        */
        datafile.close();
    }
}