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

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

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

#include <iostream>
#include <cstdio>
#include "xprb_cpp.h"

using namespace std;
using namespace ::dashoptimization;

#define DATAFILE "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

XPRBindexSet SHARES;                 // Set of shares

void readData(XPRBprob &p)
{
 double value;
 int s;
 FILE *datafile;
 char name[100];

 SHARES=p.newIndexSet("Shares",NSHARES);  // Create the `SHARES' index set

// Read `RET' data from file
 datafile=fopen(DATAFILE,"r");
 for(s=0;s<NSHARES;s++) 200,="T g" RET[SHARES+=name]=value; Print out the set contents int char XPRBexpr XPRBvar Fraction of capital used per share XPRBprob Initialize a new problem in BCL Read data from file Create decision variables for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac"); Objective: total return Return +=RET[s]*frac[s]; Set objective function Limit percentage high-risk values Risk <=1.0/3); Minimum amount North-American Na>= 0,5);

// Spend all the capital
 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);

// Solve the problem
 p.setSense(XPRB_MAXIM);
 p.lpOptimize("");

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

 return 0;
}