/********************************************************/
/* Xpress-BCL C# Example Problems */
/* ============================== */
/* */
/* file xbportf.cs */
/* ``````````````` */
/* Example for the use of Xpress-BCL */
/* (Quadratic portfolio model) */
/* */
/* (c) 2008 Fair Isaac Corporation */
/* authors: S.Heipcke, D.Brett. */
/********************************************************/
/* 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. */
using System;
using System.Text;
using System.IO;
using Optimizer;
using BCL;
namespace Examples
{
public class TestPortfolio
{
int NVal = 30; /* Total number of values */
int LIMIT = 20; /* Maximum number to be chosen */
//Define your own XPRBDATAPATH
const string XPRBDATAPATH = "../../data";
string QFILE = XPRBDATAPATH + "/portf/pfqcost.dat"; /* Quadratic cost coeff.s */
string BFILE = XPRBDATAPATH + "/portf/pfubds.dat"; /* Upper bds. on percentages */
string CFILE = XPRBDATAPATH + "/portf/pflcost.dat"; /* Linear cost coefficients */
/**** DATA ****/
double[] Cost; /* Coeff. of lin. part of the obj. */
double[,] QCost; /* Coeff. of quad. part of the obj. */
double[] UBnd; /* Upper bound values */
XPRBprob p = new XPRBprob("Portfolio"); /* Initialize a new problem in BCL */
/***********************************************************************/
public void modFolio()
{
XPRBexpr le = new XPRBexpr();
XPRBexpr qobj = new XPRBexpr();
XPRBvar[] x = new XPRBvar[NVal]; /* Amount of a value taken into
the portfolio */
XPRBvar[] y = new XPRBvar[NVal]; /* 1 if value i is chosen, else 0 */
int i,j;
XPRSprob xprsp;
/**** VARIABLES ****/
for(i=0;i<NVal;i++)
{
string xname = "x_" + (i + 1);
string yname = "y_" + (i + 1);
x[i] = p.newVar(xname, BCLconstant.XPRB_PL, 0, UBnd[i]);
y[i] = p.newVar(yname, BCLconstant.XPRB_BV);
}
/****OBJECTIVE****/
for(i=0;i<NVal;i++) /* Define objective: total cost */
{
qobj += new XPRBexpr(Cost[i] * x[i]);
qobj += QCost[i,i] * x[i].sqr();
for(j=i+1;j<NVal;j++)
qobj += QCost[i,j]*(x[i]*x[j]);
}
p.setObj(qobj); /* Set objective function */
/**** CONSTRAINTS ****/
/* Amounts of values chosen must add up to 100% */
for(i=0;i<NVal;i++) le += x[i];
p.newCtr("C1", le == 100);
for(i=0;i<NVal;i++) /* Upper limits */
p.newCtr("UL", new XPRBexpr(x[i]) <= new XPRBexpr(UBnd[i]*y[i]));
le = new XPRBexpr(0); /* Limit on total number of values */
for(i=0;i<NVal;i++) le += y[i];
p.newCtr("Card", le <= LIMIT);
/****SOLVING + OUTPUT****/
// p.print(); /* Print out the problem definition */
p.exportProb(BCLconstant.XPRB_MPS, "Portf"); /* Output the matrix in MPS format */
p.exportProb(BCLconstant.XPRB_LP, "Portf"); /* Output the matrix in LP format */
p.setSense(BCLconstant.XPRB_MINIM); /* Choose the sense of the optimization */
//Set the optimizer problem and cutstrategy:
xprsp = p.getXPRSprob();
xprsp.CutStrategy = 0;
p.lpOptimize(); /* Solve the QP-problem, add flag 'g' to
solve MIQP */
System.Console.Write("Objective function value: " + p.getObjVal() + "\n");
for(i=0;i<NVal;i++)
System.Console.Write(x[i].getName() + ": " + x[i].getSol() + ", ");
System.Console.Write("\n");
}
/***********************************************************************/
/**** Read data from files ****/
public void readData()
{
int i,j;
FileStream file = new FileStream(QFILE, FileMode.Open, FileAccess.Read);
StreamReader fileStreamIn = new StreamReader(file);
object[] objRead;
while (p.XPRBreadline(fileStreamIn, 200, "{i},{i},{g}", out objRead) == 3)
{
i = (int)objRead[0];
j = (int)objRead[1];
QCost[i-1, j-1] = (double)objRead[2];
}
fileStreamIn.Close();
file.Close();
/* Read the linear cost data file */
file = new FileStream(CFILE, FileMode.Open, FileAccess.Read);
fileStreamIn = new StreamReader(file);
while (p.XPRBreadline(fileStreamIn, 200, "{i},{g}", out objRead) == 2)
{
i = (int)objRead[0];
Cost[i - 1] = (double)objRead[1];
}
fileStreamIn.Close();
file.Close();
/* Read the bounds data file */
file = new FileStream(BFILE, FileMode.Open, FileAccess.Read);
fileStreamIn = new StreamReader(file);
while (p.XPRBreadline(fileStreamIn, 200, "{i},{g}", out objRead) == 2)
{
i = (int)objRead[0];
UBnd[i - 1] = (double)objRead[1];
}
fileStreamIn.Close();
file.Close();
}
/***********************************************************************/
public static void Main()
{
XPRB.init();
TestPortfolio InitClassInstance = new TestPortfolio();
InitClassInstance.Cost = new double[InitClassInstance.NVal];
InitClassInstance.QCost = new double[InitClassInstance.NVal, InitClassInstance.NVal];
InitClassInstance.UBnd = new double[InitClassInstance.NVal];
InitClassInstance.readData(); /* Data input from file */
InitClassInstance.modFolio(); /* Formulate and solve the problem */
return;
}
}
} |
