/******************************************************** Xpress-BCL Java Example Problems ================================ file folioiis.java `````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.java. -- Infeasible model parameter values -- -- Retrieving IIS -- (c) 2009-2024 Fair Isaac Corporation author: S.Heipcke, June 2009, rev. Dec. 2011 ********************************************************/ import java.io.*; import java.lang.*; import java.util.*; import com.dashoptimization.*; public class folioiis { static final String DATAFILE = "folio10.cdat"; static final int MAXNUM = 5; /* Max. number of different assets */ static final double MAXRISK = 1/3; /* Max. investment into high-risk values */ static final double MINREG = 0,1; /* Min. investment per geogr. region */ static final double MAXREG = 0,2; /* Max. investment per geogr. region */ static final double MAXSEC = 0,1; /* 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[]; 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; XPRBvar[] frac; /* Fraction of capital used per share */ XPRBvar[] buy; /* 1 if asset is in portfolio, 0 otherwise */ 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 Risk=p.newCtr("Risk", Limits on geographical distribution MinReg=new MaxReg=new for(r=0;r<NREGIONS;r++) le2=new MinReg[r]=p.newCtr("MinReg("+REGIONS_n[r]+")", MaxReg[r]=p.newCtr("MaxReg("+REGIONS_n[r]+")", Diversification across industry sectors LimSec=new for(t=0;t<NTYPES;t++) LimSec[t]=p.newCtr("LimSec("+TYPES_n[t]+")", Spend all capital Cap=p.newCtr("Cap", number assets Num=p.newCtr("Num", Linking variables Solve problem if (p.getLPStat()==XPRB.LP_INFEAS) infeasible. Retrieving int numiis=p.getNumIIS(); Get independent IIS IIS:=" + numiis);

                XPRSprob op = p.getXPRSprob();    /* Retrieve the Optimizer problem */

                ArrayList iisctr,iisvar;
                int numv, numc, i;

                iisvar = new ArrayList();
                iisctr = new ArrayList();

                for(s=1;s<=numiis;s++) {
                    p.getIIS(iisvar, iisctr, s);
                    numv = iisvar.size(); numc = iisctr.size();
                    System.out.println(" :=" + numv + " variables,=" +
                                       numc + ">0)
                        {                              /* Print all variables in the IIS */
                            System.out.print("        Variables: ");
                            for(i=0;i<numv;i++) +=" " if>0)
                        {                              /* Print all constraints in the IIS */
                            System.out.print("        Constraints: ");
                            for(i=0;i<numc;i++) +=" " input Input a list of strings private static String throws IOException> 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();
    }
}