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)) {}
*/
using (AMPL ampl = new AMPL())
{
if (solver != null)
{
ampl.SetOption("solver", solver);
}
ampl.SetOption("reset_initial_guesses", true);
ampl.SetOption("send_statuses", false);
ampl.SetOption("relax_integrality", true);
// Load the AMPL model from file
ampl.Read(modelDirectory + "/qpmv/qpmv.mod");
ampl.Read(modelDirectory + "/qpmv/qpmvbit.run");
// set tables directory (parameter used in the script above)
ampl.GetParameter("data_dir").Set(modelDirectory + "/qpmv");
// Read tables
ampl.ReadTable("assetstable");
ampl.ReadTable("astrets");
// set the output handler to accumulate the output messages
ampl.Output += Ampl_Output;
// Create the callback object
Console.WriteLine("Main thread: Model setup complete. Solve on worker thread.");
// Initiate the async solution process, passing the callback as a parameter. The Action
// below will be executed by the AMPL API when the solution process will be completed.
ampl.SolveAsync(() => Callback());
// Wait for the solution to complete (achieved by waiting on the AutoResetEvent waitHandle
Console.WriteLine("Main thread: Waiting for solution to end...\n");
var start = DateTime.Now;
waitHandle.WaitOne();
var duration = DateTime.Now - start;
Console.WriteLine("Main thread: done waiting.");
// At this stage, the AMPL process is done, the message "Solution process ended." has been
// printed on the console by the callback and we print a second confirmation from the main thread
Console.WriteLine("Main thread: waited for {0}", duration.ToString());
// Print the objective value
Console.WriteLine("Main thread: cost: {0}", ampl.GetValue("cst").Dbl);
}
return(0);
}
/// <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);
}
public static int Main(string[] args)
{
string modelDirectory = ((args != null) && (args.Length > 0)) ? args[0]
: "../../models";
modelDirectory += "/qpmv";
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())
{
// Number of steps of the efficient frontier
const int steps = 10;
if (solver != null)
{
ampl.SetOption("solver", solver);
}
ampl.SetOption("reset_initial_guesses", true);
ampl.SetOption("send_statuses", false);
ampl.SetOption("Solver", "cplex");
// Load the AMPL model from file
ampl.Read(modelDirectory + "/qpmv.mod");
ampl.Read(modelDirectory + "/qpmvbit.run");
// set tables directory (parameter used in the script above)
ampl.GetParameter("data_dir").Set(modelDirectory);
// Read tables
ampl.ReadTable("assetstable");
ampl.ReadTable("astrets");
Variable portfolioReturn = ampl.GetVariable("portret");
Parameter averageReturn = ampl.GetParameter("averret");
Parameter targetReturn = ampl.GetParameter("targetret");
Objective variance = ampl.GetObjective("cst");
// Relax the integrality
ampl.SetOption("relax_integrality", true);
// Solve the problem
ampl.Solve();
// Calibrate the efficient frontier range
double minret = portfolioReturn.Value;
DataFrame values = averageReturn.GetValues();
DataFrame.Column col = values.GetColumn("averret");
double maxret = col.Max().Dbl;
double stepsize = (maxret - minret) / steps;
double[] returns = new double[steps];
double[] variances = new double[steps];
for (int i = 0; i < steps; i++)
{
Console.WriteLine(string.Format("Solving for return = {0}",
maxret - (i - 1) * stepsize));
// set target return to the desired point
targetReturn.Set(maxret - (i - 1) * stepsize);
ampl.Eval("let stockopall:={};let stockrun:=stockall;");
// Relax integrality
ampl.SetOption("relax_integrality", true);
ampl.Solve();
Console.WriteLine(string.Format("QP result = {0}",
variance.Value));
// Adjust included stocks
ampl.Eval("let stockrun:={i in stockrun:weights[i]>0};");
ampl.Eval("let stockopall:={i in stockrun:weights[i]>0.5};");
// set integrality back
ampl.SetOption("relax_integrality", false);
ampl.Solve();
Console.WriteLine(string.Format("QMIP result = {0}",
variance.Value));
// Store data of corrent frontier point
returns[i] = maxret - (i - 1) * stepsize;
variances[i] = variance.Value;
}
// Display efficient frontier points
Console.WriteLine(" RETURN VARIANCE");
for (int i = 0; i < steps; i++)
{
Console.WriteLine(string.Format("{0,10:0.00000} {1,10:0.00000}", returns[i], variances[i]));
}
}
return(0);
}
