/******************************************************** Xpress-BCL C++ Example Problems =============================== file folioinfeas.cpp ```````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.cpp. -- Infeasible model parameter values -- -- Handling infeasibility through auxiliary variables -- (c) 2009-2024 Fair Isaac Corporation author: S.Heipcke, June 2009, rev. Mar. 2011 ********************************************************/ #include <iostream>
#include <cstdio>
#include <cstdlib>
#include <cstring>
#include <cctype>
#include "xprb_cpp.h"

using namespace std;
using namespace ::dashoptimization;

#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 **SECT;                        // 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;
 XPRBprob p("FolioMIP3");          // Initialize a new problem in BCL
 XPRBctr Risk,Return,Num,*MinReg, *MaxReg, *LimSec;
 XPRBexpr le, le2, Cap, LinkL, LinkU;
 XPRBvar *frac;                    // Fraction of capital used per share
 XPRBvar *buy;                     // 1 if asset is in portfolio, 0 otherwise

 readdata(DATAFILE);               // Data input from file

// Create the decision variables (including upper bounds for `frac')
 frac = new XPRBvar[NSHARES];
 buy = new XPRBvar[NSHARES];
 for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac", buy[s]=p.newVar("buy", Objective: total return for(s=0;s<NSHARES;s++) le +=RET[s]*frac[s]; Return=p.newCtr(le); Set the objective function Limit percentage of high-risk values Risk=p.newCtr(le <=MAXRISK); Limits on geographical distribution MinReg=new MaxReg=new for(r=0;r<NREGIONS;r++) le2=0;>0)
   {
    le += frac[s];
    le2 += frac[s];
   }
  MinReg[r] = p.newCtr(le >= MINREG);
  MaxReg[r] = p.newCtr(le2 <= MAXREG);
 }

// Diversification across industry sectors
 LimSec = new XPRBctr[NTYPES];
 for(t=0;t<NTYPES;t++) le=0; for(s=0;s<NSHARES;s++)>0) le += frac[s];
  LimSec[t] = p.newCtr(le <= MAXSEC);
 }

// Spend all the capital
 for(s=0;s<NSHARES;s++) Cap +=frac[s]; p.newCtr(Cap== Limit the total number of assets le=0; for(s=0;s<NSHARES;s++) Num=p.newCtr(le <=MAXNUM); Linking variables>= MINVAL*buy[s]); } // Solve the problem p.setSense(XPRB_MAXIM); p.mipOptimize(""); char *MIPSTATUS[] = {"not loaded", "not optimized", "LP optimized", "unfinished (no solution)", "unfinished (solution found)", "infeasible", "optimal", "unbounded"}; cout << "Problem status: " << MIPSTATUS[p.getMIPStat()] << endl; if (p.getMIPStat()==XPRB_MIP_INFEAS) { cout << "Original problem infeasible. Adding deviation variables" << endl; // Define deviation variables and add them to the constraints // to make problem solvable */ XPRBvar devRisk, devNum, *devMinReg, *devMaxReg, *devSec; devRisk = p.newVar("devRisk"); Risk -= devRisk; devMinReg = new XPRBvar[NREGIONS]; devMaxReg = new XPRBvar[NREGIONS]; for(r=0;r<NREGIONS;r++) Only allow small deviations devMinReg[r]=p.newVar("devMinReg", +=devMinReg[r]; devMaxReg[r]=p.newVar("devMaxReg", -=devMaxReg[r]; devSec=new for(t=0;t<NTYPES;t++) devSec[t]=p.newVar("devSec", devNum=p.newVar("devNum", Num Resolve the problem with penalty terms added to objective double Return for(r=0;r<NREGIONS;r++) Set new function if (p.getMIPStat()== cout <<="No solution after relaxation" return else Risk sumf=0; for(s=0;s<NSHARES;s++)>0) sumf+=frac[s].getSol();
    printf("  Region %-11s      %1,2f\t  %1,2f\t  (%g-%g)\n", REGIONS_n[r], sumf,
           devMaxReg[r].getSol()-devMinReg[r].getSol(),
           MINREG, MAXREG);
   }
   for(t=0;t<NTYPES;t++) Sector Number of assets Solution printing cout <<="Total return: " for(s=0;s<NSHARES;s++)>0,5)
   cout << SHARES_n[s] << ": " << frac[s].getSol()*100 << "% (" << buy[s].getSol()
        << ")" << endl;

 return 0;
}