Compilation and program execution

If you have followed the standard installation procedure of Xpress Optimizer, you may compile this file with the following command under Windows:

cl /MD /I%XPRESSDIR%\include %XPRESSDIR%\lib\xprs.lib foliolp.c

For Linux or Solaris use

cc -D_REENTRANT -I${XPRESSDIR}/include -L${XPRESSDIR}/lib foliolp.c -o foliolp -lxprs

For other systems please refer to the example makefile provided with the corresponding distribution.

Running the resulting program will generate the following output:

Total return: 14.0667
1: 30%
2: 0%
3: 20%
4: 0%
5: 6.66667%
6: 30%
7: 0%
8: 0%
9: 13.3333%
10: 0%

Under Unix this is preceded by the log of Xpress Optimizer:

Reading Problem FolioLP
Problem Statistics
           3 (      0 spare) rows
          10 (      0 spare) structural columns
          19 (      0 spare) non-zero elements
Global Statistics
           0 entities        0 sets        0 set members
Maximizing LP FolioLP
Original problem has:
         3 rows           10 cols           19 elements
Presolved problem has:
         3 rows           10 cols           19 elements

   Its         Obj Value      S   Ninf  Nneg        Sum Inf  Time
     0         42.600000      D      2     0        .000000     0
     5         14.066667      D      0     0        .000000     0
Uncrunching matrix
     5         14.066667      D      0     0        .000000     0
Optimal solution found

Windows users can retrieve the Optimizer log by redirecting it to a file. Add the following line to your program immediately after the problem creation:

 XPRSsetlogfile(prob, "logfile.txt");

The Optimizer log displays the size of the matrix, 3 rows (i.e. constraints) and 10 columns (i.e. decision variables), and the log of the LP solution algorithm (here: `D' for dual Simplex). The output produced by our program tells us that the maximum return of 14.0667 is obtained with a portfolio consisting of shares 1, 3, 5, 6, and 9. 30% of the total amount are spent in shares 1 and 6 each, 20% in 3, 13.3333% in 9 and 6.6667% in 5. It is easily verified that all constraints are indeed satisfied: we have 50% of North-American shares (1 and 3) and 33.33% of high-risk shares (3 and 9).