Compilation and program execution

If you have followed the standard installation procedure of Xpress Optimizer and BCL, you may compile this file with the following command under Windows (note that it is important to use the flag /MD):

cl /MD /I%XPRESSDIR%\include %XPRESSDIR%\lib\xprb.lib foliolp.cpp

For Linux or Solaris use

cc -D_REENTRANT -I${XPRESSDIR}/include -L${XPRESSDIR}/lib foliolp.C -o foliolp -lxprb

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

Running the resulting program will generate the following output:

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
Optimal solution found
Dual solved problem
  5 simplex iterations in 0s

Final objective                         : 1.406666666666667e+01
  Max primal violation      (abs / rel) :       0.0 /       0.0
  Max dual violation        (abs / rel) :       0.0 /       0.0
  Max complementarity viol. (abs / rel) :       0.0 /       0.0
All values within tolerances
Problem status: optimal
Total return: 14.0667
0: 30%
1: 0%
2: 20%
3: 0%
4: 6.66667%
5: 30%
6: 0%
7: 0%
8: 13.3333%
9: 0%

The upper half of this display is the log of Xpress Optimizer: 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 lower half is the output produced by our program: 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).

It is possible to modify the amount of output printing by BCL and Xpress Optimizer by adding the following line before the start of the optimization:

 p.setMsgLevel(1);

This setting will disable all output (including warnings) from BCL and Xpress Optimizer, with the exception of error messages. The possible values for the printing level range from 0 to 4. In Chapter 13 we show how to access the Optimizer control parameters directly which, for instance, allows fine tuning the message display.