/********************************************************
Xpress-BCL Java Example Problems
================================
file xbportf.java
`````````````````
Quadratic portfolio model.
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, Jan. 2000, rev. Mar. 2011
********************************************************/
/* In this model, a choice has to be made which values are taken *
* into a portfolio in order to minimize the total cost. The costs *
* for some values are interrelated, introducing a quadratic part *
* to the objective function. Upper bounds are given on the total *
* number of values and the share of each value that may be taken. */
import java.io.*;
import com.dashoptimization.*;
public class xbportf
{
static final int NVal = 30; /* Total number of values */
static final int LIMIT = 20; /* Maximum number to be chosen */
static final String QFILE = System.getProperty("XPRBDATA") +
"/portf/pfqcost.dat"; /* Quadratic cost coefficients */
static final String BFILE = System.getProperty("XPRBDATA") +
"/portf/pfubds.dat"; /* Upper bounds on percentages */
static final String CFILE = System.getProperty("XPRBDATA") +
"/portf/pflcost.dat"; /* Linear cost coefficients */
/**** DATA ****/
static double Cost[]; /* Coeff. of lin. part of the obj. */
static double QCost[][]; /* Coeff. of quad. part of the obj. */
static double UBnd[]; /* Upper bound values */
static XPRB bcl;
static XPRBprob p;
/***********************************************************************/
static void modFolio() throws IOException
{
XPRBctr c;
XPRBexpr le, qobj;
XPRBvar[] x; /* Amount of a value taken into
the portfolio */
XPRBvar[] y; /* 1 if value i is chosen, else 0 */
int i,j;
/**** VARIABLES ****/
x = new XPRBvar[NVal];
y = new XPRBvar[NVal];
for(i=0;i |
