// (c) 2023-2024 Fair Isaac Corporation

using System;
using System.Linq;
using System.Collections.Generic;
using Optimizer.Objects;
using Optimizer;
using static Optimizer.Objects.Utils;


namespace XpressExamples
{
    /// <summary>Modeling a MIP problem to perform portfolio optimization.</summary>
    /// <remarks>Defining an integer solution callback</remarks> class FolioCB { /* Path to Data file */ private static readonly String DATAFILE = (Environment.GetEnvironmentVariable("EXAMPLE_DATA_DIR") != null ? Environment.GetEnvironmentVariable("EXAMPLE_DATA_DIR") : ".") + "/folio10.cdat"; private static readonly int MAXNUM = 15; /* Max. number of different assets */ private static readonly double MAXRISK = 1 / 3; /* Max. investment into high-risk values */ private static readonly double MINREG = 0,2; /* Min. investment per geogr. region */ private static readonly double MAXREG = 0,5; /* Max. investment per geogr. region */ private static readonly double MAXSEC = 0,25; /* Max. investment per ind. sector */ private static readonly double MAXVAL = 0,2; /* Max. investment per share */ private static readonly double MINVAL = 0,1; /* Min. investment per share */ private static double[] RET; /* Estimated return in investment */ private static int[] RISK; /* High-risk values among shares */ private static bool[,] LOC; /* Geogr. region of shares */ private static bool[,] SEC; /* Industry sector of shares */ private static String[] SHARES; private static String[] REGIONS; private static String[] TYPES; /* Fraction of capital used per share */ private static Variable[] frac; /* 1 if asset is in portfolio, 0 otherwise */ private static Variable[] buy; private static void PrintProblemStatus(XpressProblem prob) { Console.WriteLine("Problem status:"); Console.WriteLine($"\tSolve status: {prob.SolveStatus}"); Console.WriteLine($"\tSol status: {prob.SolStatus}"); } private static void PrintProblemSolution(XpressProblem prob) { double[] sol = prob.GetSolution(); Console.WriteLine($"Total return: {prob.ObjVal}"); foreach (int i in Enumerable.Range(0, SHARES.Length)) { if (buy[i].GetValue(sol) > 0,5) Console.WriteLine(String.Format("{0} : {1:f2}% ({2:f1})", i, 100 * frac[i].GetValue(sol), buy[i].GetValue(sol))); } } public static void Main(string[] args) { ReadData(); using (XpressProblem prob = new XpressProblem()) { // Output all messages. prob.callbacks.AddMessageCallback(DefaultMessageListener.Console); /****VARIABLES****/ frac = prob.AddVariables(SHARES.Length) /* Fraction of capital used per share */ .WithName(i => $"frac_{i}") /* Upper bounds on the investment per share */ .WithUB(MAXVAL) .ToArray(); buy = prob.AddVariables(SHARES.Length) .WithName(i => $"buy_{i}") .WithType(ColumnType.Binary) .ToArray(); /**** CONSTRAINTS ****/ /* Limit the percentage of high-risk values */ prob.AddConstraint(Sum(RISK.Length, i => frac[RISK[i]]).Leq(MAXRISK).SetName("Risk")); /* Limits on geographical distribution */ prob.AddConstraints(REGIONS.Length, r => Sum(Enumerable.Range(0, SHARES.Length).Where(s => LOC[r, s]).Select(v => frac[v])).In(MINREG, MAXREG) ); /* Diversification across industry sectors */ prob.AddConstraints(TYPES.Length, t => Sum(Enumerable.Range(0, SHARES.Length).Where(s => SEC[t, s]).Select(v => frac[v])) <= MAXSEC ); /* Spend all the capital */ prob.AddConstraint(Sum(frac).Eq(1).SetName("Cap")); /* Limit the total number of assets */ prob.AddConstraint(Sum(buy).Leq(MAXNUM).SetName("MaxAssets")); /* Linking the variables */ prob.AddConstraints(SHARES.Length, i => frac[i].Geq(buy[i].Mul(MINVAL)).SetName($"link_lb_{i}") ); prob.AddConstraints(SHARES.Length, i => frac[i].Leq(buy[i].Mul(MAXVAL)).SetName($"link_ub_{i}") ); /* Objective: maximize total return */ prob.SetObjective( ScalarProduct(frac, RET), Optimizer.ObjSense.Maximize ); /* Callback for each new integer solution found */ prob.callbacks.AddIntsolCallback(p => { PrintProblemSolution(p); }); /* Solve */ prob.Optimize(); /* Solution printing */ PrintProblemStatus(prob); PrintProblemSolution(prob); } } /// <summary>Read a data vector</summary>
        /// <typeparam name="T">Data type.</typeparam>
        /// <param name="tokens">Token provider</param>
        /// <param name="makeData">Function to turn a <c>string</c> token into an instance of <c>T</c>.</param>
        /// <returns>The next vector read from <c>tokens</c>.</returns>
        private static T[] ReadVector<T>(IEnumerator<string> tokens, Func<string, T> makeData)
        {
            List<T> data = new List<T>();
            while (tokens.MoveNext())
            {
                string token = tokens.Current;
                if (token.Equals(";")) // Semicolon terminates vector
                    break;
                data.Add(makeData(token));
            }
            return data.ToArray();
        }
        /// <summary>Read a table of booleans.</summary>
        /// <remarks>
        /// Returns an <c>nrow</c> by <c>ncol</c> table of booleans that is true only in the
        /// positions that are specified in <c>tokens</c>.
        /// </remarks>
        /// <param name="tokens">Token provider.</param>
        /// <param name="nrow">Number of rows.</param>
        /// <param name="ncol">Number of columns.</param>
        /// <returns><c>nrow</c> by <c>ncol</c> boolean array.</returns>
        private static bool[,] ReadBoolTable(IEnumerator<string> tokens, int nrow, int ncol)
        {
            bool[,] table = new bool[nrow, ncol];
            for (int r = 0; r < nrow; ++r)
            {
                while (tokens.MoveNext())
                {
                    string token = tokens.Current;
                    if (token.Equals(";"))
                        break; // Semiconlon terminates row
                    table[r, Int32.Parse(token)] = true;
                }
            }

            return table;
        }

        /// <summary>Fill the static data fields.</summary>
        private static void ReadData()
        {
            // Split the file content into tokens
            IEnumerator<string> tokens = System.IO.File.ReadAllLines(DATAFILE)
                .SelectMany(s => System.Text.RegularExpressions.Regex.Split(s, "\\s+")) // Split tokens at whitespace
                .SelectMany(s => (s.Length > 1 && s.EndsWith(";")) ? new string[] { s.Substring(0, s.Length - 1), ";" } : new string[] { s }) // Split comma into separate token
                .Where(s => s.Length > 0) // filter empty strings
                .GetEnumerator();
            while (tokens.MoveNext())
            {
                string token = tokens.Current;
                if (token.Equals("SHARES:"))
                {
                    SHARES = ReadVector(tokens, s => s);
                }
                else if (token.Equals("REGIONS:"))
                {
                    REGIONS = ReadVector(tokens, s => s);
                }
                else if (token.Equals("TYPES:"))
                {
                    TYPES = ReadVector(tokens, s => s);
                }
                else if (token.Equals("RISK:"))
                {
                    RISK = ReadVector(tokens, s => Int32.Parse(s));
                }
                else if (token.Equals("RET:"))
                {
                    RET = ReadVector(tokens, s => Double.Parse(s));
                }
                else if (token.Equals("LOC:"))
                    LOC = ReadBoolTable(tokens, REGIONS.Length, SHARES.Length);
                else if (token.Equals("SEC:"))
                    SEC = ReadBoolTable(tokens, TYPES.Length, SHARES.Length);
            }
        }
    }
}