/// <summary>
/// This example shows a simple AMPL iterative procedure implemented in AMPL
/// </summary>
/// <param name="args">
/// </param>
public static int Main(string[] args)
{
string modelDirectory = ((args != null) && (args.Length > 0)) ? args[0]
: "../../models";
string solver = ((args != null) && (args.Length > 1)) ? args[1] : null;
/*
* // If the AMPL installation directory is not in the system search path:
* ampl.Environment env = new ampl.Environment(
* "full path to the AMPL installation directory");
* // Create an AMPL instance
* using (AMPL a = new AMPL(env)) {}
*/
// Create an AMPL instance
using (AMPL ampl = new AMPL())
{
if (solver != null)
{
ampl.SetOption("solver", solver);
}
modelDirectory += "/tracking";
// Load the AMPL model from file
ampl.Read(modelDirectory + "/tracking.mod");
// Read data
ampl.ReadData(modelDirectory + "/tracking.dat");
// Read table declarations
ampl.Read(modelDirectory + "/trackingbit.run");
// set tables directory (parameter used in the script above)
ampl.GetParameter("data_dir").Set(modelDirectory);
// Read tables
ampl.ReadTable("assets");
ampl.ReadTable("indret");
ampl.ReadTable("returns");
var hold = ampl.GetVariable("hold");
Parameter ifinuniverse = ampl.GetParameter("ifinuniverse");
// Relax the integrality
ampl.SetOption("relax_integrality", true);
// Solve the problem
ampl.Solve();
Console.Write("QP objective value {0}\n",
ampl.GetObjectives().First().Value);
double lowcutoff = 0.04;
double highcutoff = 0.1;
// Get the variable representing the (relaxed) solution vector
DataFrame holdvalues = hold.GetValues();
List <double> toHold = new List <double>(holdvalues.NumRows);
// For each asset, if it was held by more than the highcutoff, forces it in the model, if
// less than lowcutoff, forces it out
foreach (var value in holdvalues.GetColumn("hold"))
{
if (value.Dbl < lowcutoff)
{
toHold.Add(0);
}
else if (value.Dbl > highcutoff)
{
toHold.Add(2);
}
else
{
toHold.Add(1);
}
}
// uses those values for the parameter ifinuniverse, which controls which stock is included
// or not in the solution
ifinuniverse.SetValues(toHold.ToArray());
// Get back to the integer problem
ampl.SetOption("relax_integrality", false);
// Solve the (integer) problem
ampl.Solve();
Console.Write("QMIP objective value {0}\n",
ampl.GetObjectives().First().Value);
}
return(0);
}
