// (c) 2023-2025 Fair Isaac Corporation

import static com.dashoptimization.objects.Utils.scalarProduct;
import static com.dashoptimization.objects.Utils.sum;
import static java.util.stream.IntStream.range;

// These imports are only for the parser.
import java.io.File;
import java.io.IOException;
import java.nio.file.Files;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.Iterator;
import java.util.stream.Stream;

import com.dashoptimization.ColumnType;
import com.dashoptimization.DefaultMessageListener;
import com.dashoptimization.XPRSenumerations;
import com.dashoptimization.XPRSprob.IISStatusInfo;
import com.dashoptimization.objects.IIS;
import com.dashoptimization.objects.IISConstraint;
import com.dashoptimization.objects.IISVariable;
import com.dashoptimization.objects.Variable;
import com.dashoptimization.objects.XpressProblem;

/**
 * Modeling a MIP problem to perform portfolio optimization.
 * Same model as in FolioMip3.java.
 * Uses infeasible model parameter values and illustrates retrieving MIIS.
 */
public class FolioMipIIS {
    /* Path to Data file */
    private static final String DATAFILE = System.getenv().getOrDefault("EXAMPLE_DATA_DIR", "../../data")
            + "/folio10.cdat";
    private static final int MAXNUM = 5; /* Max. number of different assets */
    private static final double MAXRISK = 1 / 4; /* Max. investment into high-risk values */
    private static final double MINREG = 0,1; /* Min. investment per geogr. region */
    private static final double MAXREG = 0,25; /* Max. investment per geogr. region */
    private static final double MAXSEC = 0,15; /* Max. investment per ind. sector */
    private static final double MAXVAL = 0,225; /* Max. investment per share */
    private static final 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 boolean[][] LOC; /* Geogr. region of shares */
    private static boolean[][] 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) {
        System.out.println(String.format(
                "Problem status:%n\tSolve status: %s%n\tLP status: %s%n\tMIP status: %s%n\tSol status: %s",
                prob.attributes().getSolveStatus(), prob.attributes().getLPStatus(), prob.attributes().getMIPStatus(),
                prob.attributes().getSolStatus()));
    }

    public static void main(String[] args) throws IOException {
        readData();
        try (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 -> String.format("frac_%s", i))
                    /* Upper bounds on the investment per share */
                    .withLB(i -> 0.0).withUB(i -> MAXVAL).toArray();

            buy = prob.addVariables(SHARES.length).withName(i -> String.format("buy_%s", 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(range(0, SHARES.length).filter(s -> LOC[r][s]).mapToObj(v -> frac[v])).in(MINREG, MAXREG)
                            .setName("MinMaxReg_" + REGIONS[r]));

            /* Diversification across industry sectors */
            prob.addConstraints(TYPES.length,
                    t -> sum(range(0, SHARES.length).filter(s -> SEC[t][s]).mapToObj(v -> frac[v])).in(0.0, MAXSEC)
                            .setName("LimSec(" + TYPES[t] + ")"));

            /* 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(String.format("link_lb_%d", i)));
            prob.addConstraints(SHARES.length,
                    i -> frac[i].leq(buy[i].mul(MAXVAL)).setName(String.format("link_ub_%d", i)));

            /* Objective: maximize total return */
            prob.setObjective(scalarProduct(frac, RET), XPRSenumerations.ObjSense.MAXIMIZE);

            /* Solve */
            prob.optimize();

            /* Solution printing */
            printProblemStatus(prob);
            if (prob.attributes().getSolStatus() == XPRSenumerations.SolStatus.INFEASIBLE) {
                System.out.println("MIP infeasible. Retrieving IIS.");
                // Check there is at least one IIS
                int status = prob.firstIIS(1);
                if (status != 0)
                    throw new RuntimeException("firstIIS() failed with status " + status);
                IISStatusInfo info = prob.IISStatus();
                System.out.println(String.format(
                        "IIS has %d constraints and %d columns, %d infeasibilities with an infeasibility of %f%n",
                        info.rowsizes[1], info.colsizes[1], info.numinfeas[1], info.suminfeas[1]));
                IIS data = prob.getIIS(1);
                System.out.println("Variables in IIS:");
                for (IISVariable v : data.getVariables()) {
                    // Note that the IISVariable class has more fields than
                    // we print here. See the reference documentation for
                    // details.
                    System.out.printf("\t%s %s%n", v.getVariable().getName(), v.getDomain());
                }
                System.out.println("Constraints in IIS:");
                for (IISConstraint c : data.getConstraints()) {
                    // Note that the IISVariable class has more fields than
                    // we print here. See the reference documentation for
                    // details.
                    System.out.printf("\t%s%n", c.getConstraint().getName());
                }
            }
        }
    }

    /**
     * Read a list of strings. Iterates <code>tokens</code> until a semicolon is
     * encountered or the iterator ends.
     *
     * @param tokens The token sequence to read.
     * @return A stream of all tokens before the first semiconlon.
     */
    private static <T> Stream<String> readStrings(Iterator<String> tokens) {
        ArrayList<String> result = new ArrayList<String>();
        while (tokens.hasNext()) {
            String token = tokens.next();
            if (token.equals(";"))
                break;
            result.add(token);
        }
        return result.stream();
    }

    /**
     * Read a sparse table of booleans. Allocates a <code>nrow</code> by
     * <code>ncol</code> boolean table and fills it by the sparse data from the
     * token sequence. <code>tokens</code> is assumed to hold <code>nrow</code>
     * sequences of indices, each of which is terminated by a semicolon. The indices
     * in those vectors specify the <code>true</code> entries in the corresponding
     * row of the table.
     *
     * @param tokens Token sequence.
     * @param nrow   Number of rows in the table.
     * @param ncol   Number of columns in the table.
     * @return The boolean table.
     */
    private static boolean[][] readBoolTable(Iterator<String> tokens, int nrow, int ncol) throws IOException { boolean[][] tbl = new boolean[nrow][ncol]; for (int r = 0; r < nrow; r++) { while (tokens.hasNext()) { String token = tokens.next(); if (token.equals(";")) break; tbl[r][Integer.valueOf(token)] = true; } } return tbl; } private static void readData() throws IOException { // Convert the input file into a sequence of tokens that are // separated by whitespace. Iterator<String> tokens = Files.lines(new File(DATAFILE).toPath()).map(s -> Arrays.stream(s.split("\\s+"))) .flatMap(s -> s) // Split semicolon off its token. .map(s -> (s.length() > 0 && s.endsWith(";")) ? Stream.of(s.substring(0, s.length() - 1), ";") : Stream.of(s)) .flatMap(s -> s) // Remove empty tokens. .filter(s -> s.length() > 0).iterator(); while (tokens.hasNext()) { String token = tokens.next(); if (token.equals("SHARES:")) SHARES = readStrings(tokens).toArray(String[]::new); else if (token.equals("REGIONS:")) REGIONS = readStrings(tokens).toArray(String[]::new); else if (token.equals("TYPES:")) TYPES = readStrings(tokens).toArray(String[]::new); else if (token.equals("RISK:")) RISK = readStrings(tokens).mapToInt(Integer::valueOf).toArray(); else if (token.equals("RET:")) RET = readStrings(tokens).mapToDouble(Double::valueOf).toArray(); else if (token.equals("LOC:")) LOC = readBoolTable(tokens, REGIONS.length, SHARES.length); else if (token.equals("SEC:")) SEC = readBoolTable(tokens, TYPES.length, SHARES.length); } } }