extern crate mosek;
extern crate itertools;
use mosek::{Task,Objsense,Streamtype,Solsta,Soltype,Boundkey};
use itertools::{izip,iproduct};
const INF : f64 = 0.0;
#[allow(non_snake_case)]
pub fn portfolio(n : i32,
mu : &[f64],
m : &[f64],
GT : &[f64],
x0 : &[f64],
gamma : f64,
w : f64) -> Result<(Vec<f64>,f64),String> {
let k = (GT.len() / n as usize) as i32;
let mut task = match Task::new() {
Some(e) => e,
None => return Err("Failed to create task".to_string()),
}.with_callbacks();
task.put_stream_callback(Streamtype::LOG, |msg| print!("{}",msg))?;
task.append_vars(3*n)?;
let allvars : Vec<i32> = (0i32..3*n).collect();
let var_x = &allvars[0..n as usize];
let var_c = &allvars[n as usize..2*n as usize];
let var_xc = &allvars[0..2*n as usize];
let var_z = &allvars[2*n as usize..3*n as usize];
for (i,j) in var_x.iter().enumerate() {
task.put_var_bound(*j,mosek::Boundkey::LO, 0.0, 0.0)?;
task.put_var_name(*j,format!("x[{}]",i+1).as_str())?; }
for (i,j) in var_c.iter().enumerate() {
task.put_var_bound(*j,mosek::Boundkey::FR, 0.0, 0.0)?;
task.put_var_name(*j,format!("c[{}]",i+1).as_str())?;
}
for (i,j) in var_z.iter().enumerate() {
task.put_var_bound(*j,mosek::Boundkey::FR, 0.0, 0.0)?;
task.put_var_name(*j,format!("z[{}]",i+1).as_str())?;
}
task.put_obj_sense(Objsense::MAXIMIZE)?;
for i in var_x {
task.put_c_j(*i,mu[*i as usize])?;
}
task.append_cons(1)?;
let con_budget = 0i32;
task.put_con_name(0,"budget")?;
let wealth = w + x0.iter().sum::<f64>();
task.put_a_row(con_budget,
&var_xc,
(0..n).map(|_| 1.0).chain(m.iter().map(|v| *v)).collect::<Vec<f64>>().as_slice())?;
task.put_con_bound(con_budget,mosek::Boundkey::FX, wealth,wealth)?;
{
let coni = task.get_num_con()?;
task.append_cons(2 * n)?;
for i in 0..n {
task.put_con_name(coni+i, format!("zabs1[{}]",1 + i).as_str())?;
task.put_con_name(coni+n+i, format!("zabs2[{}]",1 + i).as_str())?;
}
let ones = vec![1.0; n as usize];
let minusones = vec![-1.0; n as usize];
let con_abs1 : Vec<i32> = (coni..coni+n).collect();
let con_abs2 : Vec<i32> = (coni+n..coni+2*n).collect();
task.put_aij_list(con_abs1.as_slice(), var_x, minusones.as_slice())?;
task.put_aij_list(con_abs1.as_slice(), var_z, ones.as_slice())?;
task.put_con_bound_slice(coni,coni+n, vec![Boundkey::LO; n as usize].as_slice(), x0.iter().map(|&v| -v).collect::<Vec<f64>>().as_slice(), vec![INF; n as usize].as_slice())?;
task.put_aij_list(con_abs2.as_slice(), var_x, ones.as_slice())?;
task.put_aij_list(con_abs2.as_slice(), var_z, ones.as_slice())?;
task.put_con_bound_slice(coni+n,coni+n*2, vec![Boundkey::LO; n as usize].as_slice(), x0, vec![INF; n as usize].as_slice())?;
}
{
let acci = task.get_num_acc()?;
let afei = task.get_num_afe()?;
task.append_afes(k as i64 + 1)?;
let dom = task.append_quadratic_cone_domain(k as i64+1)?;
task.append_acc_seq(dom,
afei,
vec![0.0; k as usize + 1].as_slice())?;
task.put_acc_name(acci,"risk")?;
task.put_afe_g(afei,gamma)?;
for ((i,j),v) in iproduct!(0..n,0..n).zip(GT).filter(|(_,v)| **v != 0.0) {
task.put_afe_f_entry(afei + i as i64 + 1, j as i32, *v)?;
}
}
{
let mut acci = task.get_num_acc()?;
let mut afei = task.get_num_afe()?;
let afe0 = afei;
task.append_afes(n as i64 * 2+1)?;
let dom = task.append_primal_power_cone_domain(3,&[2.0, 1.0])?;
task.put_afe_g(afe0,1.0)?;
afei += 1;
for (i,&cj,&zj,&x0j) in izip!(0..n,var_c,var_z,x0) {
task.put_afe_f_entry(afei,cj,1.0)?;
task.put_afe_f_entry(afei+1,zj,1.0)?;
task.put_afe_g(afei+1, - x0j)?;
task.append_acc(dom,
&[afei,afe0,afei+1],
&[0.0, 0.0, 0.0])?;
task.put_acc_name(acci,format!("market_impact[{}]",i+1).as_str())?;
afei += 2;
acci += 1;
}
}
let _ = task.optimize()?;
task.write_data("portfolio_3_impact.ptf")?;
task.solution_summary(Streamtype::MSG)?;
if ! task.solution_def(Soltype::ITR)? {
return Err("No solultion defined".to_string());
}
let solsta = task.get_sol_sta(Soltype::ITR)?;
if solsta != Solsta::OPTIMAL {
return Err("Unexpected solution status".to_string());
}
let mut level = vec![0.0;n as usize];
task.get_xx_slice(Soltype::ITR,0,n,level.as_mut_slice())?;
let obj = task.get_primal_obj(Soltype::ITR)?;
Ok((level,obj))
}
#[allow(non_snake_case)]
fn main() -> Result<(),String> {
let n : i32 = 8;
let w = 1.0;
let mu = &[0.07197, 0.15518, 0.17535, 0.08981, 0.42896, 0.39292, 0.32171, 0.18379];
let x0 = &[0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0];
let GT = &[0.30758, 0.12146, 0.11341, 0.11327, 0.17625, 0.11973, 0.10435, 0.10638,
0. , 0.25042, 0.09946, 0.09164, 0.06692, 0.08706, 0.09173, 0.08506,
0. , 0. , 0.19914, 0.05867, 0.06453, 0.07367, 0.06468, 0.01914,
0. , 0. , 0. , 0.20876, 0.04933, 0.03651, 0.09381, 0.07742,
0. , 0. , 0. , 0. , 0.36096, 0.12574, 0.10157, 0.0571 ,
0. , 0. , 0. , 0. , 0. , 0.21552, 0.05663, 0.06187,
0. , 0. , 0. , 0. , 0. , 0. , 0.22514, 0.03327,
0. , 0. , 0. , 0. , 0. , 0. , 0. , 0.2202 ];
let gamma = 0.36;
let m = vec![0.01; n as usize];
let (level,obj) = portfolio(n,
mu,
m.as_slice(),
GT,
x0,
gamma,
w)?;
println!("Solution x = {:?}",level);
println!("Objective value x = {:?}",obj);
Ok(())
}
#[cfg(test)]
mod tests {
#[test]
fn test() {
super::main().unwrap();
}
}