/********************************************************
  Xpress-BCL Java Example Problems
  ================================

  file foliomip2.java
  ```````````````````
  Modeling a small LP problem
  to perform portfolio optimization.
   -- Imposing a minimum investment per share --

  (c) 2008-2023 Fair Isaac Corporation
      author: S.Heipcke, 2003, rev. Dec. 2011
********************************************************/

import com.dashoptimization.*;

public class foliomip2 {
    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 */

    public static void main(String[] args) {
        int s;
        XPRBexpr Risk,Na,Return,Cap,Num;
        XPRBvar[] frac;                  /* Fraction of capital used per share */

        try (XPRBprob p = new XPRBprob("FolioSC")) { /* Initialize BCL and create a new problem */

            /* Create the decision variables */
            frac = new XPRBvar[NSHARES];
            for(s=0;s<NSHARES;s++) {
                frac[s] = p.newVar("frac", XPRB.SC, 0, 0.3);
                frac[s].setLim(0.1);
            }

            /* 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.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.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));

            /* Solve the problem */
            p.setSense(XPRB.MAXIM);
            p.mipOptimize("");

            /* Solution printing */
            System.out.println("Total return: " + p.getObjVal());
            for(s=0;s<NSHARES;s++)
                System.out.println(s + ": " + frac[s].getSol()*100 + "%");

        }
    }
}