Examples with Variable org.ojalgo.optimisation.Variable used on opensource projects

Example 66 with Variable

use of org.ojalgo.optimisation.Variable in project ojAlgo by optimatika.

the class IntegerProblems method testP20111010.

/**
 * If the relaxed problem was infeasible you got a NullPointerException instead of a result indicating
 * that the problem is infeasible.
 */
@Test
public void testP20111010() {
    final Variable[] tmpVariables = new Variable[] { Variable.makeBinary("X").weight(ONE), Variable.makeBinary("Y").weight(ONE), Variable.makeBinary("Z").weight(ONE) };
    final ExpressionsBasedModel tmpModel = new ExpressionsBasedModel(tmpVariables);
    final Expression tmpC1 = tmpModel.addExpression("C1");
    for (int i = 0; i < tmpModel.countVariables(); i++) {
        tmpC1.set(i, ONE);
    }
    tmpC1.level(ONE);
    final Expression tmpC2 = tmpModel.addExpression("C2");
    for (int i = 0; i < tmpModel.countVariables(); i++) {
        tmpC2.set(i, ONE);
    }
    tmpC2.level(TWO);
    final Expression tmpC3 = tmpModel.addExpression("C3");
    for (int i = 0; i < tmpModel.countVariables(); i++) {
        tmpC3.set(i, ONE);
    }
    tmpC3.level(THREE);
    // tmpModel.options.debug(LinearSolver.class);
    final Optimisation.Result tmpResult = tmpModel.minimise();
    TestUtils.assertEquals(State.INFEASIBLE, tmpResult.getState());
}

Example 67 with Variable

use of org.ojalgo.optimisation.Variable in project ojAlgo-finance by optimatika.

the class StrategyMixer method testStratCombQuadraticExpressionModel.

/**
 * This is test case using a reimplementation of the algorithm in {@link PortfolioMixer}.
 */
@Test
public void testStratCombQuadraticExpressionModel() {
    final BigDecimal[] tmpTarget = new BigDecimal[] { THIRD, THIRD, THIRD };
    final BigDecimal[] tmpStrat1 = new BigDecimal[] { HALF, HALF, ZERO };
    final BigDecimal[] tmpStrat2 = new BigDecimal[] { HALF, ZERO, HALF };
    final BigDecimal[] tmpStrat3 = new BigDecimal[] { ZERO, HALF, HALF };
    final BigDecimal[][] tmpStrats = new BigDecimal[][] { tmpStrat1, tmpStrat2, tmpStrat3 };
    final Variable[] tmpVars = new Variable[] { new Variable("S1"), new Variable("S2"), new Variable("S3"), Variable.makeBinary("B1"), Variable.makeBinary("B2"), Variable.makeBinary("B3") };
    for (int s = 0; s < 3; s++) {
        BigDecimal tmpVal = ZERO;
        for (int i = 0; i < 3; i++) {
            tmpVal = tmpVal.add(tmpTarget[i].multiply(tmpStrats[s][i]));
        }
        tmpVal = tmpVal.multiply(TWO).negate();
        tmpVars[s].weight(tmpVal);
        tmpVars[s].lower(ZERO);
        tmpVars[s].upper(ONE);
    }
    final ExpressionsBasedModel tmpModel = new ExpressionsBasedModel(tmpVars);
    // tmpModel.options.debug(IntegerSolver.class);
    // tmpModel.options.validate = false;
    final Expression tmpQuadObj = tmpModel.addExpression("Quadratic Objective Part");
    tmpQuadObj.weight(ONE);
    for (int row = 0; row < 3; row++) {
        for (int col = 0; col < 3; col++) {
            BigDecimal tmpVal = ZERO;
            for (int i = 0; i < 3; i++) {
                tmpVal = tmpVal.add(tmpStrats[row][i].multiply(tmpStrats[col][i]));
            }
            tmpQuadObj.set(row, col, tmpVal);
            tmpQuadObj.set(3 + row, 3 + col, tmpVal.multiply(THOUSANDTH));
        }
        final Expression tmpActive = tmpModel.addExpression(tmpVars[row].getName() + " Active");
        tmpActive.set(3 + row, ONE);
        tmpActive.set(row, NEG);
        tmpActive.lower(ZERO);
        if (DEBUG) {
            BasicLogger.debug(tmpActive.toString());
        }
    }
    final Expression tmpHundredPercent = tmpModel.addExpression("100%");
    tmpHundredPercent.level(ONE);
    tmpHundredPercent.set(0, ONE);
    tmpHundredPercent.set(1, ONE);
    tmpHundredPercent.set(2, ONE);
    if (DEBUG) {
        BasicLogger.debug(tmpHundredPercent.toString());
    }
    final Expression tmpStrategyCount = tmpModel.addExpression("Strategy Count");
    tmpStrategyCount.upper(TWO);
    tmpStrategyCount.set(3, ONE);
    tmpStrategyCount.set(4, ONE);
    tmpStrategyCount.set(5, ONE);
    if (DEBUG) {
        BasicLogger.debug(tmpStrategyCount.toString());
    }
    tmpModel.minimise();
    if (DEBUG) {
        BasicLogger.debug(tmpModel.toString());
        BasicLogger.debug(Arrays.toString(tmpVars));
    }
    int tmpUseCount = 0;
    double tmpTotalWeight = 0D;
    final Variable[] tmpSolution = new Variable[] { tmpVars[0], tmpVars[1], tmpVars[2] };
    for (final Variable tmpWeight : tmpSolution) {
        if (tmpWeight.getValue().signum() != 0) {
            tmpUseCount++;
            tmpTotalWeight += tmpWeight.getValue().doubleValue();
        }
    }
    TestUtils.assertEquals(TWO.intValue(), tmpUseCount);
    TestUtils.assertEquals(PrimitiveMath.ONE, tmpTotalWeight, 1E-14 / PrimitiveMath.THREE);
}

Example 68 with Variable

use of org.ojalgo.optimisation.Variable in project ojAlgo-finance by optimatika.

the class PortfolioMixer method mix.

public List<BigDecimal> mix(final int aNumber) {
    final int tmpNumberOfAssets = myTarget.getWeights().size();
    final int tmpNumberOfComponents = myComponents.size();
    final Variable[] tmpVariables = new Variable[2 * tmpNumberOfComponents];
    for (int c = 0; c < tmpNumberOfComponents; c++) {
        final Variable tmpVariable = new Variable(C + c);
        BigDecimal tmpVal = ZERO;
        for (int i = 0; i < tmpNumberOfAssets; i++) {
            tmpVal = tmpVal.add(myTarget.getWeights().get(i).multiply(myComponents.get(c).getWeights().get(i)));
        }
        tmpVal = tmpVal.multiply(TWO).negate();
        tmpVariable.weight(tmpVal);
        tmpVariable.lower(ZERO);
        tmpVariable.upper(ONE);
        tmpVariables[c] = tmpVariable;
        tmpVariables[tmpNumberOfComponents + c] = Variable.makeBinary(B + c);
    }
    final ExpressionsBasedModel tmpModel = new ExpressionsBasedModel(tmpVariables);
    final Expression tmpQuadObj = tmpModel.addExpression(QUADRATIC_OBJECTIVE_PART);
    tmpQuadObj.weight(ONE);
    for (int row = 0; row < tmpNumberOfComponents; row++) {
        for (int col = 0; col < tmpNumberOfComponents; col++) {
            BigDecimal tmpVal = ZERO;
            for (int i = 0; i < tmpNumberOfAssets; i++) {
                tmpVal = tmpVal.add(myComponents.get(row).getWeights().get(i).multiply(myComponents.get(col).getWeights().get(i)));
            }
            tmpQuadObj.set(row, col, tmpVal);
            tmpQuadObj.set(tmpNumberOfComponents + row, tmpNumberOfComponents + col, tmpVal.multiply(THOUSANDTH));
        }
        final Expression tmpActive = tmpModel.addExpression(tmpVariables[row].getName() + ACTIVE);
        tmpActive.set(row, NEG);
        tmpActive.set(tmpNumberOfComponents + row, ONE);
        tmpActive.lower(ZERO);
    // BasicLogger.logDebug(tmpActive.toString());
    // BasicLogger.logDebug(tmpActive.getName(), tmpActive.getLinear().getFactors());
    }
    // BasicLogger.logDebug(QUADRATIC_OBJECTIVE_PART, tmpQuadObj.getQuadratic().getFactors());
    final Expression tmpHundredPercent = tmpModel.addExpression("100%");
    tmpHundredPercent.level(ONE);
    for (int c = 0; c < tmpNumberOfComponents; c++) {
        tmpHundredPercent.set(c, ONE);
    }
    // BasicLogger.logDebug(tmpHundredPercent.toString());
    // BasicLogger.logDebug(tmpHundredPercent.getName(), tmpHundredPercent.getLinear().getFactors());
    final Expression tmpStrategyCount = tmpModel.addExpression(STRATEGY_COUNT);
    tmpStrategyCount.upper(TypeUtils.toBigDecimal(aNumber));
    for (int c = 0; c < tmpNumberOfComponents; c++) {
        tmpStrategyCount.set(tmpNumberOfComponents + c, ONE);
    }
    for (final Entry<int[], LowerUpper> tmpEntry : myAssetConstraints.entrySet()) {
        // For now I assume there is only 1 index
        final int tmpIndex = tmpEntry.getKey()[0];
        final BigDecimal tmpLower = tmpEntry.getValue().lower;
        final BigDecimal tmpUpper = tmpEntry.getValue().upper;
        final Expression tmpExpr = tmpModel.addExpression("AC" + Arrays.toString(tmpEntry.getKey()));
        for (int c = 0; c < tmpNumberOfComponents; c++) {
            tmpExpr.set(c, myComponents.get(c).getWeights().get(tmpIndex));
        }
        if (tmpLower != null) {
            tmpExpr.lower(tmpLower);
        }
        if (tmpUpper != null) {
            tmpExpr.upper(tmpUpper);
        }
    }
    for (final Entry<int[], LowerUpper> tmpEntry : myComponentConstraints.entrySet()) {
        // For now I assume there is only 1 index
        final int tmpIndex = tmpEntry.getKey()[0];
        final BigDecimal tmpLower = tmpEntry.getValue().lower;
        final BigDecimal tmpUpper = tmpEntry.getValue().upper;
        final Expression tmpExpr = tmpModel.addExpression("CC" + Arrays.toString(tmpEntry.getKey()));
        tmpExpr.set(tmpIndex, BigMath.ONE);
        for (int c = 0; c < tmpNumberOfComponents; c++) {
        }
        if (tmpLower != null) {
            tmpExpr.lower(tmpLower);
        }
        if (tmpUpper != null) {
            tmpExpr.upper(tmpUpper);
        }
    }
    tmpModel.minimise();
    final ArrayList<BigDecimal> retVal = new ArrayList<>(tmpNumberOfComponents);
    for (int v = 0; v < tmpNumberOfComponents; v++) {
        retVal.add(tmpVariables[v].getValue());
    }
    return retVal;
}

Example 69 with Variable

use of org.ojalgo.optimisation.Variable in project ojAlgo-finance by optimatika.

the class OptimisedPortfolio method makeModel.

final ExpressionsBasedModel makeModel(final Map<int[], LowerUpper> constraints) {
    final int tmpLength = myVariables.length;
    final Variable[] tmpVariables = new Variable[tmpLength];
    for (int i = 0; i < tmpVariables.length; i++) {
        tmpVariables[i] = myVariables[i].copy();
        if (!this.isShortingAllowed() && ((myVariables[i].getLowerLimit() == null) || (myVariables[i].getLowerLimit().signum() == -1))) {
            tmpVariables[i].lower(ZERO);
        }
    }
    final ExpressionsBasedModel retVal = new ExpressionsBasedModel(myOptimisationOptions);
    retVal.addVariables(tmpVariables);
    final Expression myOptimisationVariance = retVal.addExpression(VARIANCE);
    final BasicMatrix tmpCovariances = this.getCovariances();
    for (int j = 0; j < tmpLength; j++) {
        for (int i = 0; i < tmpLength; i++) {
            myOptimisationVariance.set(i, j, tmpCovariances.get(i, j));
        }
    }
    final Expression tmpBalanceExpression = retVal.addExpression(BALANCE);
    for (int i = 0; i < tmpLength; i++) {
        tmpBalanceExpression.set(i, ONE);
    }
    tmpBalanceExpression.level(ONE);
    for (final Map.Entry<int[], LowerUpper> tmpEntry : constraints.entrySet()) {
        final int[] tmpKey = tmpEntry.getKey();
        final LowerUpper tmpValue = tmpEntry.getValue();
        final Expression tmpExpression = retVal.addExpression(Arrays.toString(tmpKey));
        for (int i = 0; i < tmpKey.length; i++) {
            tmpExpression.set(tmpKey[i], ONE);
        }
        tmpExpression.lower(tmpValue.lower).upper(tmpValue.upper);
    }
    return retVal;
}