/********************************************************
Xpress-BCL Java Example Problems
================================
file xbrecurs.java
``````````````````
Recursion solving a non-linear financial planning problem
The problem is to solve
net(t) = Payments(t) - interest(t)
balance(t) = balance(t-1) - net(t)
interest(t) = (92/365) * balance(t) * interest_rate
where
balance(0) = 0
balance[T] = 0
for interest_rate
(c) 2008 Fair Isaac Corporation
author: S.Heipcke, 2001, rev. Mar. 2011
********************************************************/
import java.lang.*;
import com.dashoptimization.*;
public class xbrecurs
{
static final int T=6;
/****DATA****/
static double X = 0.00; /* An INITIAL GUESS as to interest rate x */
static final double[] B =
/* {796.35, 589.8918, 398.1351, 201.5451, 0.0, 0.0}; */
{1,1,1,1,1,1}; /* An INITIAL GUESS as to balances b(t) */
static final double[] P = {-1000, 0, 0, 0, 0, 0}; /* Payments */
static final double[] R = {206.6, 206.6, 206.6, 206.6, 206.6, 0}; /* " */
static final double[] V = {-2.95, 0, 0, 0, 0, 0}; /* " */
static XPRBvar[] b; /* Balance */
static XPRBvar x; /* Interest rate */
static XPRBvar dx; /* Change to x */
static XPRBctr[] interest;
static XPRBctr ctrd;
static XPRB bcl;
static XPRBprob p;
/***********************************************************************/
static void modFinNLP() throws XPRSexception
{
XPRBvar[] i; /* Interest */
XPRBvar[] n; /* Net */
XPRBvar[] epl, emn; /* + and - deviations */
XPRBexpr cobj, le;
int t;
bcl = new XPRB(); /* Initialize BCL */
p = bcl.newProb("Fin_nlp"); /* Create a new problem in BCL*/
XPRS.init(); /* Initialize Xpress-Optimizer */
/****VARIABLES****/
b = new XPRBvar[T];
i = new XPRBvar[T];
n = new XPRBvar[T];
epl = new XPRBvar[T];
emn = new XPRBvar[T];
for(t=0;t0) p.newCtr("bal", b[t].eql(b[t-1].add(n[t].mul(-1))) );
else p.newCtr("bal", b[t].eql(n[t].mul(-1)) );
}
interest = new XPRBctr[T];
for(t=1;t0.000001)
{
ct++;
basis=p.saveBasis(); /* Save the current basis */
/* Get the solution values for b and x */
for(t=1;t |
