/********************************************************
  Xpress-BCL Java Example Problems
  ================================

  file folioinit2.java
  ````````````````````
  Modeling a small LP problem 
  to perform portfolio optimization.
  Initialization with error handling.

  (c) 2008 Fair Isaac Corporation
      author: S.Heipcke, 2003, rev. Dec. 2011
********************************************************/

import com.dashoptimization.*;

public class folioinit2
{
 static final int NSHARES = 10;     /* Number of shares */
 static final int NRISK = 5;        /* Number of high-risk shares */
 static final int NNA = 4;          /* Number of North-American shares */

 static final double[] RET = {5,17,26,12,8,9,7,6,31,21};
                                    /* Estimated return in investment  */
 static final int[] RISK = {1,2,3,8,9};  /* High-risk values among shares */
 static final int[] NA = {0,1,2,3};      /* Shares issued in N.-America */

 static final String[] LPSTATUS = {"not loaded", "optimal", "infeasible", 
          "worse than cutoff", "unfinished", "unbounded", "cutoff in dual",
	  "unsolved", "nonconvex"};
 
 public static void main(String[] args)
 { 
  XPRB bcl=null;
  int s;
  XPRBprob p;
  XPRBexpr Risk,Na,Return,Cap;
  XPRBvar[] frac;                    /* Fraction of capital used per share */

  try
  {
   bcl = new XPRB();                 /* Initialize BCL */
  }
  catch(XPRBlicenseError e)
  {
   System.out.println("Initialization failed (licensing problem).");
   System.exit(1);
  }
  catch(XPRBerror e)
  {
   System.out.println("Initialization failed.");
   System.exit(1);
  }

  p = bcl.newProb("FolioLP");        /* Create a new problem in BCL */

/* Create the decision variables */
  frac = new XPRBvar[NSHARES];
  for(s=0;s<NSHARES;s++) frac[s] = p.newVar("frac");  /*, XPRB.PL, 0, 0.3); */
 
/* Objective: total return */
  Return = new XPRBexpr();
  for(s=0;s<NSHARES;s++) Return.add(frac[s].mul(RET[s])); 
  p.setObj(Return);                  /* Set the objective function */

/* Limit the percentage of high-risk values */
  Risk = new XPRBexpr();
  for(s=0;s<NRISK;s++) Risk.add(frac[RISK[s]]); 
  p.newCtr("Risk", Risk.lEql(1.0/3) );

/* Minimum amount of North-American values */
  Na = new XPRBexpr();
  for(s=0;s<NNA;s++) Na.add(frac[NA[s]]); 
  p.newCtr("NA", Na.gEql(0.5) );

/* Spend all the capital */
  Cap = new XPRBexpr();
  for(s=0;s<NSHARES;s++) Cap.add(frac[s]); 
  p.newCtr(Cap.eql(1));
 
/* Upper bounds on the investment per share */
  for(s=0;s<NSHARES;s++) frac[s].setUB(0.3);

/* Solve the problem */
  p.setSense(XPRB.MAXIM);
  p.lpOptimize("");

  System.out.println("Problem status: " + LPSTATUS[p.getLPStat()]);
 
/* Solution printing */
  System.out.println("Total return: " + p.getObjVal());
  for(s=0;s<NSHARES;s++) 
   System.out.println(s + ": " + frac[s].getSol()*100 + "%");

/* Delete the problem */
  p.finalize();              
  p=null;
 }

} 
