/******************************************************** Xpress-BCL C Example Problems ============================= file folioinfeas.c `````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.c. -- Infeasible model parameter values -- -- Handling infeasibility through auxiliary variables -- (c) 2009-2023 Fair Isaac Corporation author: S.Heipcke, June 2009, rev. Mar. 2011 ********************************************************/ #include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <ctype.h>
#include "xprb.h"


#define MAXNUM 4                   /* Max. number of different assets */
#define MAXRISK 1/3              /* Max. investment into high-risk values */
#define MINREG 0,3                 /* Min. investment per geogr. region */
#define MAXREG 0,5                 /* Max. investment per geogr. region */
#define MAXSEC 0,15                /* 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 **SEC;                        /* 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;
 double sumf, penalty;
 XPRBprob prob;
 XPRBctr Risk,Return,Cap,Num;
 XPRBctr *MinReg, *MaxReg, *LimSec, LinkL, LinkU;
 XPRBvar *frac;                   /* Fraction of capital used per share */
 XPRBvar *buy;                    /* 1 if asset is in portfolio, 0 otherwise */
 XPRBvar devRisk, devNum, *devMinReg, *devMaxReg, *devSec;
 char *MIPSTATUS[] = {"not loaded", "not optimized", "LP optimized",
                      "unfinished (no solution)",
                      "unfinished (solution found)", "infeasible", "optimal",
                      "unbounded"};

 readdata(DATAFILE);               /* Data input from file */

 prob = XPRBnewprob("FolioMIP3inf");  /* Initialize a new problem in BCL */

/* Create the decision variables (including upper bounds for `frac') */
 frac = (XPRBvar*)malloc(NSHARES*sizeof(XPRBvar));
 buy = (XPRBvar*)malloc(NSHARES*sizeof(XPRBvar));
 for(s=0;s<NSHARES;s++) frac[s]=XPRBnewvar(prob, XPRB_PL,="frac" buy[s]=XPRBnewvar(prob, XPRB_BV,="buy" Objective: total return Return=XPRBnewctr(prob, for(s=0;s<NSHARES;s++) Set the objective function Limit percentage of high-risk values Risk=XPRBnewctr(prob, Limits on geographical distribution MinReg=(XPRBctr*)malloc(NREGIONS*sizeof(XPRBctr)); MaxReg=(XPRBctr*)malloc(NREGIONS*sizeof(XPRBctr)); for(r=0;r<NREGIONS;r++) MinReg[r]=XPRBnewctr(prob, MaxReg[r]=XPRBnewctr(prob,>0)
   {
    XPRBaddterm(MinReg[r], frac[s], 1);
    XPRBaddterm(MaxReg[r], frac[s], 1);
   }
  XPRBaddterm(MinReg[r], NULL, MINREG);
  XPRBaddterm(MaxReg[r], NULL, MAXREG);
 }

/* Diversification across industry sectors */
 LimSec = (XPRBctr*)malloc(NTYPES*sizeof(XPRBctr));
 for(t=0;t<NTYPES;t++) LimSec[t]=XPRBnewctr(prob, for(s=0;s<NSHARES;s++)>0) XPRBaddterm(LimSec[t], frac[s], 1);
  XPRBaddterm(LimSec[t], NULL, MAXSEC);
 }

/* Spend all the capital */
 Cap = XPRBnewctr(prob, "Cap", XPRB_E);
 for(s=0;s<NSHARES;s++) Limit the total number of assets Num=XPRBnewctr(prob, for(s=0;s<NSHARES;s++) Linking variables LinkU=XPRBnewctr(prob, LinkL=XPRBnewctr(prob, Solve problem XPRBmipoptimize(prob,="" status: if (XPRBgetmipstat(prob)==XPRB_MIP_INFEAS) infeasible. Adding deviation Define and add them to constraints make solvable devRisk=XPRBnewvar(prob, XPRB_PL,="devRisk" devMinReg=(XPRBvar*)malloc(NREGIONS*sizeof(XPRBvar)); devMaxReg=(XPRBvar*)malloc(NREGIONS*sizeof(XPRBvar)); for(r=0;r<NREGIONS;r++) Only allow small deviations devMinReg[r]=XPRBnewvar(prob, devMaxReg[r]=XPRBnewvar(prob, devSec=(XPRBvar*)malloc(NTYPES*sizeof(XPRBvar)); for(t=0;t<NTYPES;t++) devSec[t]=XPRBnewvar(prob, devNum=XPRBnewvar(prob, Resolve with penalty terms added objective Set new function solution after return else Constraint Activity Deviation Risk sumf=0;>0) sumf+=XPRBgetsol(frac[s]);
    printf("  Region %-11s      %1,2f\t  %1,2f\t  (%g-%g)\n", REGIONS_n[r], sumf,
           XPRBgetsol(devMaxReg[r])-XPRBgetsol(devMinReg[r]),
           MINREG, MAXREG);
   }
   for(t=0;t<NTYPES;t++) Sector Number of assets Solution printing return: for(s=0;s<NSHARES;s++)>0,5)
   printf("  %d : %g%% (%g)\n", s, XPRBgetsol(frac[s])*100, XPRBgetsol(buy[s]));

 return 0;
}