Making the Minimum Mandatory Changes
The code sample in this section shows the effect of applying the minimal set of changes to the example code.
Within Xpress Workbench, change your
foliodata.mos file so that it now appears as:
01: (!
02: Portfolio optimization app example
03: (c) 2020 Fair Isaac Corporation.
04: !)
05: model "Portfolio Optimization"
06: version 1.0.0
07:
08: options noimplicit
09:
10: uses "mminsight"
11: uses "mmxprs"
12:
13: declarations
14: ! Constant
15: DATAFILE = "shares.csv"
16: end-declarations
17:
18: ! Declaration of the scenario data model for input and results
19: public declarations
20: ! Input entities
21: !@insight.manage input
22: !@insight.alias Maximum investment into high-risk values
23: MaxHighRisk: real
24:
25: !@insight.manage input
26: !@insight.alias Maximum investment per share
27: MaxPerShare: real
28:
29: !@insight.manage input
30: !@insight.alias Minimum investment into North-American values
31: MinNorthAmerica: real
32:
33: !@insight.manage input
34: !@insight.alias Shares
35: ShareIds: set of string
36:
37: ! Input and result entities indexed over ShareIds
38: !@insight.manage input
39: !@insight.alias Expected Return on Investment
40: !@insight.format $ 0.00
41: Shares_Return: array(ShareIds) of real
42:
43: !@insight.manage input
44: !@insight.alias High-risk value
45: Shares_HighRisk: array(ShareIds) of boolean
46:
47: !@insight.manage input
48: !@insight.alias Issued in North America
49: Shares_NorthAmerica: array(ShareIds) of boolean
50:
51: !@insight.manage result
52: !@insight.alias Investment per share
53: !@insight.format 0.0%
54: Shares_fraction: array(ShareIds) of mpvar
55:
56: ! Result entities
57: !@insight.manage result
58: !@insight.alias Total expected return on investment
59: TotalReturn: linctr
60: end-declarations
61:
62: !@doc.descr Load input data and initialize all input entities
63: procedure loaddata
64: writeln("Loading data.")
65: MaxHighRisk := 0.33
66: MaxPerShare := 0.25
67: MinNorthAmerica := 0.45
68:
69: initializations from "mmsheet.csv:skiph;" + DATAFILE
70: [Shares_Return, Shares_HighRisk, Shares_NorthAmerica] as '[A:D]'
71: end-initializations
72:
73: writeln("Loading finished.")
74: end-procedure
75:
76: !@doc.descr Create and solve model, then initialize all result entities.
77: procedure solvemodel
78: declarations
79: LimitHighRisk, LimitNorthAmerica
: linctr
80: end-declarations
81:
82: ! Objective: expected total return
83: TotalReturn := sum(s in ShareIds) Shares_Return(s) * Shares_fraction(s)
84:
85: ! Limit the percentage of high-risk values
86: LimitHighRisk :=
87: sum(s in ShareIds | Shares_HighRisk(s)) Shares_fraction(s) <= MaxHighRisk
88:
89: ! Minimum amount of North-American values
90: LimitNorthAmerica
:=
91: sum(s in ShareIds | Shares_NorthAmerica(s)) Shares_fraction(s) >= MinNorthAmerica
92:
93: ! Spend all the capital
94: sum(s in ShareIds) Shares_fraction(s) = 1
95:
96: ! Upper bounds on the investment per share
97: forall(s in ShareIds) do
98: Shares_fraction(s) <= MaxPerShare
99: end-do
100:
101: writeln('Starting optimization.')
102:
103: ! Solve optimization problem
104: insightmaximize(TotalReturn)
105:
106: writeln('Optimization finished.')
107: end-procedure
108:
109: !@doc.descr Handler for the standard LOAD execution mode
110: !@doc.descr Define actions to perform in 'load' execution mode
111: !@insight.execmodes.LOAD
112: public procedure doload
113: ! Scenario is being 'loaded' through Xpress Insight
114: ! Initialize input arrays and then terminate
115: loaddata
116: end-procedure
117:
118: !@doc.descr Handler for the standard RUN execution mode
119: !@doc.descr Define actions to perform in 'run' execution mode
120: !@insight.execmodes.RUN
121: public procedure dorun
122: ! Scenario is being 'run' through Xpress Insight
123: ! Populate with Insight scenario data and then solve optimization
124: insightpopulate
125: solvemodel
126: end-procedure
127:
128: !@doc.descr Handler for the standalone (NONE) execution mode
129: !@doc.descr Define actions to perform when model is run standalone (without Xpress Insight)
130: !@insight.execmodes.NONE
131: public procedure doloadandrun
132: ! Model is being run outside of Xpress Insight, e.g. from the Mosel command-line tool
133: ! Initialize input arrays then solve optimization
134: loaddata
135: solvemodel
136: end-procedure
137:
138: ! Automatically call the procedure with annotation matching the current execution mode
139: insightdispatch
140:
141: end-model
Commentary
The following line numbers in the code perform these functions:
- Line 10 loads the
mminsightpackage. - Line 104 now contains a call to
insightmaximizeinstead ofmaximize. - Lines 109-116 contain the
LOADmode code. - Lines 118-126 contain the
RUNmode code. - Lines 128-136 are executed when the code is executed outside Insight.
- Line 139 calls the procedure that matches the selected execution mode.
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