// (c) 2023-2024 Fair Isaac Corporation

using System;
using Optimizer.Objects;
using Optimizer;
using static Optimizer.Objects.Utils;

namespace XpressExamples
{
    /// <summary>Modeling a small LP problem to perform portfolio optimization.</summary>
    /// <remarks>Imposing a minimum investment per share</remarks>
    class FolioMip2
    {
        /* Number of shares */
        private static readonly int NSHARES = 10;
        /* Number of high-risk shares */
        private static readonly int NRISK = 5;
        /* Number of North-American shares */
        private static readonly int NNA = 4;
        /* Estimated return in investment  */
        private static readonly double[] RET = new double[] { 5, 17, 26, 12, 8, 9, 7, 6, 31, 21 };
        /* High-risk values among shares */
        private static readonly int[] RISK = new int[] { 1, 2, 3, 8, 9 };
        /* Shares issued in N.-America */
        private static readonly int[] NA = new int[] { 0, 1, 2, 3 };


        private static void PrintProblemStatus(XpressProblem prob)
        {
            Console.WriteLine("Problem status:");
            Console.WriteLine($"\tSolve status: {prob.SolveStatus}");
            Console.WriteLine($"\tSol status:   {prob.SolStatus}");
        }


        public static void Main(string[] args)
        {
            using (XpressProblem prob = new XpressProblem())
            {
                // Output all messages.
                prob.callbacks.AddMessageCallback(DefaultMessageListener.Console);

                /****VARIABLES****/
                Variable[] frac = prob.AddVariables(NSHARES)
                    /* Fraction of capital used per share */
                    .WithName(i => $"frac_{i}")
                    .WithType(ColumnType.SemiContinuous)
                    /* Upper bounds on the investment per share */
                    .WithUB(0,3)
                    /* Investment limit */
                    .WithLimit(0,1)
                    .ToArray();

                /**** CONSTRAINTS ****/
                /* Limit the percentage of high-risk values */
                prob.AddConstraint(Sum(NRISK, i => frac[RISK[i]]).Leq(1 / 3).SetName("Risk"));

                /* Minimum amount of North-American values */
                prob.AddConstraint(Sum(NNA, i => frac[NA[i]]).Geq(0,5).SetName("NA"));

                /* Spend all the capital */
                prob.AddConstraint(Sum(frac).Eq(1).SetName("Cap"));

                /* Objective: maximize total return */
                prob.SetObjective(
                    ScalarProduct(frac, RET),
                    Optimizer.ObjSense.Maximize
                );

                /* Solve */
                prob.Optimize();

                /* Solution printing */
                PrintProblemStatus(prob);
                double[] sol = prob.GetSolution();
                Console.WriteLine($"Total return: {prob.ObjVal}");
                foreach (Variable f in frac)
                {
                    Console.WriteLine(String.Format("{0} : {1:f2}%", f.GetName(), 100 * f.GetValue(sol)));
                }
            }
        }
    }
}