extern crate mosek;
use mosek::{Task,Objsense,Streamtype,Soltype,Variabletype,Boundkey,Solsta};
extern crate itertools;
use itertools::{iproduct};
const INF : f64 = 0.0;
#[allow(non_snake_case)]
fn portfolio(n : i32,
mu : &[f64],
f : &[f64],
g : &[f64],
GT : &[f64],
x0 : &[f64],
gamma : f64,
w : f64) -> Result<(Vec<f64>,f64),String> {
let mut task = match Task::new() {
Some(e) => e,
None => return Err("Failed to create task".to_string()),
}.with_callbacks();
let k = (GT.len() / n as usize) as i32;
task.put_stream_callback(Streamtype::LOG, |msg| print!("{}",msg))?;
let w0 = w + x0.iter().sum::<f64>();
task.append_cons(1i32)?;
task.append_vars(3*n)?;
for i in 0i32..n {
task.put_var_name(i, format!("x[{}]",i+1).as_str())?;
task.put_var_name(i+n, format!("y[{}]",i+1).as_str())?;
task.put_var_name(i+2*n,format!("z[{}]",i+1).as_str())?;
task.put_var_type(i+n, Variabletype::TYPE_INT)?;
}
let all_vars : Vec<i32> = (0i32..3*n).collect();
let x = &all_vars[0..n as usize];
let y = &all_vars[n as usize..2*n as usize];
let z = &all_vars[2*n as usize..3*n as usize];
task.put_var_bound_slice_const(0i32,n, mosek::Boundkey::LO, 0.0,0.0)?;
task.put_var_bound_slice_const(n,2*n, mosek::Boundkey::RA, 0.0,1.0)?;
task.put_var_bound_slice_const(2*n,3*n, mosek::Boundkey::FR, 0.0,0.0)?;
task.put_con_name(0,"budget")?;
{
let zeros = vec![0i32; n as usize];
let fones = vec![1.0; n as usize];
task.put_aij_list(zeros.as_slice(), x, fones.as_slice())?;
task.put_aij_list(zeros.as_slice(), y, f)?;
task.put_aij_list(zeros.as_slice(), z, g)?;
task.put_con_bound(0i32,mosek::Boundkey::FX,w0,w0)?;
}
task.put_obj_sense(Objsense::MAXIMIZE)?;
for (xi,mui) in x.iter().zip(mu.iter()) {
task.put_c_j(*xi, *mui)?;
}
{
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 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(), x, minusones.as_slice())?;
task.put_aij_list(con_abs1.as_slice(), 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(), x, ones.as_slice())?;
task.put_aij_list(con_abs2.as_slice(), 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 coni = task.get_num_con()?;
task.append_cons(n)?;
for i in 0..n {
task.put_con_name(coni + i, format!("switch[{}]",i+1).as_str())?;
}
let conlist : Vec<i32> = (coni..coni+n).collect();
task.put_aij_list(conlist.as_slice(), z, vec![1.0; n as usize].as_slice())?;
task.put_aij_list(conlist.as_slice(), y, vec![-w0; n as usize].as_slice())?;
task.put_con_bound_slice_const(coni,coni+n, Boundkey::UP, 0.0,0.0)?;
}
let _ = task.optimize()?;
task.write_data("portfolio_4_transcost.ptf")?;
task.solution_summary(Streamtype::MSG)?;
if task.get_sol_sta(Soltype::ITG)? != Solsta::INTEGER_OPTIMAL {
eprintln!("Solution not optimal!");
std::process::exit(1);
}
let mut xx = vec![0.0;n as usize];
task.get_xx_slice(Soltype::ITG, 0,n, xx.as_mut_slice())?;
let expret = xx[0..n as usize].iter().zip(mu.iter()).map(|(a,b)| a*b).sum::<f64>();
Ok((xx,expret))
}
#[allow(non_snake_case)]
fn main() -> Result<(),String> {
let n = 8i32;
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 f = vec![0.01; n as usize];
let g = vec![0.001; n as usize];
let gamma = 0.36;
let (level,expret) = portfolio(n,
mu,
f.as_slice(),
g.as_slice(),
GT,
x0,
gamma,
w)?;
println!("Expected return {:.4e} for gamma {:.4e}\n", expret, gamma);
println!("Solution vector = {:?}\n", level);
Ok(())
}
#[cfg(test)]
mod tests {
#[test]
fn test() {
super::main().unwrap();
}
}