/******************************************************** Xpress-BCL C# Example Problems ============================== file folioinit.cs ````````````````` Modeling a small LP problem to perform portfolio optimization. Explicit initialization. (c) 2008-2024 Fair Isaac Corporation authors: S.Heipcke, D.Brett. ********************************************************/ using System; using System.Text; using System.IO; using BCL; namespace Examples { public class TestUGFolioInit { 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 void solveProb() { 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 // Create the decision variables for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac"); Objective: total return Return=new for(s=0;s<NSHARES;s++) +=RET[s]*frac[s]; Set the objective function Limit percentage of high-risk values Risk=new <=1.0/3); 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);

            // 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 + "%");
        }

        public static void Main()
        {
            TestUGFolioInit TestInstance = new TestUGFolioInit();

            if(XPRB.init() != 0)
            {
                System.Console.WriteLine("Initialization failed.");
                return;
            }
            TestInstance.solveProb();
            return;
        }


    }


}