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

  file foliolp.cs
  ```````````````
  Modeling a small LP problem
  to perform portfolio optimization.

  (c) 2008-2023 Fair Isaac Corporation
      authors: S.Heipcke, D.Brett.
********************************************************/

using System;
using System.Text;
using System.IO;
using BCL;


namespace Examples
{
    public class TestUGFolioLP
    {

        const int NSHARES = 10;                   // Number of shares
        const int NRISK = 5;                      // Number of high-risk shares
        const int 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

        public static void Main()
        {
            XPRB.init();
            int s;
            XPRBprob p = new XPRBprob("FolioLP");              // Initialize a new problem in BCL
            XPRBexpr Risk,Na,Return,Cap;
            XPRBvar[] frac = new XPRBvar[NSHARES];              // Fraction of capital used per share
            TestUGFolioLP TestInstance = new TestUGFolioLP();

            // Create the decision variables
            for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac"); Objective: total return Return=new for (s=0; s +=TestInstance.RET[s] Set the objective function Limit percentage of high-risk values Risk=new <=1.0/3); Equivalent: XPRBctr CRisk=p.newCtr("Risk"); for(s=0;s<NRISK;s++) Minimum amount North-American Na=new>= 0,5);

            // Spend all the capital
            Cap = new XPRBexpr();
            for(s=0;s<NSHARES;s++) Cap += frac[s];
            p.newCtr("Cap", Cap == 1);

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

            // Export matrix to a file
            /* p.exportProb(XPRB_MPS, "Folio");
            p.setSense(XPRB_MAXIM);
            p.exportProb(XPRB_LP, "Folio");
            */

            // Disable all BCL and Optimizer message printing, except error messages
            // p.setMsgLevel(1);

            // Solve the problem
            p.setSense(BCLconstant.XPRB_MAXIM);
            p.lpOptimize();              /* Solve the LP-problem */

            string[] LPSTATUS = {"not loaded", "optimal", "infeasible",
            "worse than cutoff", "unfinished", "unbounded", "cutoff in dual"};

            System.Console.WriteLine("Problem status: " + LPSTATUS[p.getLPStat()]);

            // Solution printing
            System.Console.WriteLine("Total return: " + p.getObjVal());
            for(s=0;s<NSHARES;s++)
            System.Console.WriteLine(s + ": " + frac[s].getSol()*100 + "%");

            return;
        }

    }

}