Originally posted by: SystemAdmin

[adriana said:]

I began to work with c++ Concert Technology in cplex a few days ago, I copied the example ilodiet.cpp and tried to adapt it to my problem, but I can't do it and I don't find the error this is my model :

min Sum (Covariance[i][j]*X[i]*X[j])
  st  Sum (R[i]*X[i]) =Rexp                      //Return Constraint
      Sum (X[i])=1                                  //Budget Constraint 
      xmin[i]<= X[i] <= xmax[i] (1  i  n)      //Floor &Ceiling C.<br />      max(X[i]-iniX[i],0) < Bmax (1  i  n)    //TurnoverPurchase C
      max(iniX[i]-X[i],0) < Smax(1  i  n)    //TurnoverSale C.
      X[i]=iniX[i] or X[i] >= (iniX[i]+Bmin)  //Trading Constraint
      or X[i] >= (iniX[i]-S[i])
      |{i E {1,...,n}:X[i]!=0}| N              //Maximun number of
                                                        elements in solution
------------------------------------------------------------
and my code:



#include <ilcplex/ilocplex.h>
#include <ilconcert/iloexpr.h>
#include <ilconcert/ilomodel.h>

ILOSTLBEGIN

typedef IloArray<IloNumArray> IloNumArray2;
double Rexp = .98;
IloInt nMaxAsset = 16;


void buildModelByRow(IloModel        model,
                    IloNumVarArray    X,
                    IloNumArray  floors,
                    IloNumArray  ceilings,
                    IloNumArray  maxPurchases,
                    IloNumArray  minPurchases,
                    IloNumArray  maxSales,
    IloNumArray  minSales,
    IloNumArray  initialX,
    IloNumArray  returns,
                    IloNumArray2 Cov,
                  IloNumVar::Type type) {
 
  IloEnv env = model.getEnv();
  X.clear();
  IloNumVarArray tmp(env, floors,ceilings);
  tmp.end();

  IloInt i, j;
  IloInt nAsset = floors.getSize(); 

  IloExpr obj;
  for(i=0; i<nAsset; i++)<br /> for(j=0; j<nAsset; j++){<br /> obj+= Cov[i][j]*X[i]*X[j];
}
  model.add(IloMinimize(env, obj ));
  obj.end();

 
    //Return Constraint
  IloExpr sumRexp;
  for(i=0; i<nAsset; i++) <br />   sumRexp += returns[i]*X[i];
  model.add(sumRexp >= Rexp);
  sumRexp.end();


  //Budget Constraint
  IloExpr sumBudget;
  for(i=0; i<nAsset; i++) <br />   sumBudget += X[i];
  model.add(sumBudget == 1);
  sumBudget.end();

  //Floor & Ceiling Constraint
  for(i=0; i<nAsset; i++) <br />   model.add( floors[i] <= X[i] <= ceilings[i] );<br />
  //Trading Constraint
  for(i=0; i<nAsset; i++)<br />   model.add( initialX[i] == X[i] || X[i] >= (initialX[i] + minPurchases[i]) ||
    X[i] >= (initialX[i] - minSales[i])        );
 
//Maximun Number of asset
  IloExpr nIncludedAsset;
  for(i=0; i<nAsset; i++)<br />   nIncludedAsset+=1;
  model.add(nIncludedAsset <= nMaxAsset);<br />   nIncludedAsset.end();

  //Turnover Purchase
  IloExpr purch;
  for(i=0; i<nAsset; i++){<br />   purch = X[i]-initialX[i];
  if (purch < 0) purch = 0;<br />   model.add(purch <= maxPurchases[i]);<br />   }
  purch.end();

  //Turnover Sale
  IloExpr sale;
  for(i=0; i<nAsset; i++){<br />   sale = initialX[i] - X[i];
  if(sale < 0) sale = 0;<br />   model.add(sale <= maxSales[i]);<br />   }
  sale.end();
}

int main(int argc, char **argv){
  IloEnv env;

  try {     
  const char*  rfloor =   "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/floors.txt";
  const char*  rceiling =   "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/ceilings.txt";
  const char*  rmaxPurchase = "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/maxPurchases.txt";
  const char*  rmaxSale =   "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/maxSales.txt";
  const char*  rminPurchase1 ="C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/minPurchases.txt";
  const char*  rminSale1 =    "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/minSales.txt";
  const char*  rinitialX=   "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/initialX.txt";     
  const char*  rreturn =   "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/returns.txt";
  const char*  rcov=       "C:/Documents and Settings/maria/Escritorio/Adriana/cplex2/covMatrix.txt";

      IloBool        byColumn  = IloFalse;
      IloNumVar::Type varType  = ILOFLOAT;

      IloInt i;
     
  ifstream file1(rfloor);
  if ( !file1 ) {
        cerr << "ERROR: could not open file '" << rfloor << "' for reading" << endl;<br />        throw (-1);
      }
 
  ifstream file2(rceiling);
  if ( !file2 ) {
        cerr << "ERROR: could not open file '" << rceiling << "' for reading" << endl;<br />        throw (-1);
      }

  ifstream file3(rmaxPurchase);
  if ( !file3 ) {
        cerr << "ERROR: could not open file '" << rmaxPurchase << "' for reading" << endl;<br />        throw (-1);
      }

  ifstream file4(rmaxSale);
  if ( !file4 ) {
        cerr << "ERROR: could not open file '" << rmaxSale << "' for reading" << endl;<br />        throw (-1);
      }

  ifstream file7(rinitialX);
  if ( !file7 ) {
        cerr << "ERROR: could not open file '" << rinitialX<< "' for reading" << endl;<br />        throw (-1);
      }

  ifstream file8(rreturn);
  if ( !file8 ) {
        cerr << "ERROR: could not open file '" << rreturn << "' for reading" << endl;<br />        throw (-1);
      }

  ifstream file9(rcov);
  if ( !file9 ) {
        cerr << "ERROR: could not open file '" << rcov<< "' for reading" << endl;<br />        throw (-1);
      }
 

  // model data   double Rexp = .98;
  IloNumArray  floors(env), ceilings(env), maxPurchases(env),maxSales(env), returns(env), initialX(env);
  IloNumArray minPurchases(env, 189, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05);
  IloNumArray minSales    (env, 189, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05);
      IloNumArray2 Cov(env);

      //file >> foodCost >> foodMin >> foodMax;
      //file >> nutrMin >> nutrMax;
      //file >> nutrPer;
  file1 >> floors;
  file2 >> ceilings;
  file3 >> maxPurchases;
  file4 >> maxSales;
  file7 >> initialX;
  file8 >> returns;
  file9 >> Cov;

  cerr << "floors" << floors.getSize()<<endl;<br />   cerr << "ceilings" << ceilings.getSize()<<endl;<br />   cerr << "maxPurchases" << maxPurchases.getSize()<<endl;<br />   cerr << "maxSales" << maxSales.getSize()<<endl;<br />   cerr << "minPurchases" << minPurchases.getSize()<<endl;<br />   cerr << "minSales" << minSales.getSize()<<endl;<br />   cerr << "initialX" << initialX.getSize()<<endl;<br />   cerr << "returns" << returns.getSize()<<endl;<br />   cerr << "cov" << Cov.getSize()<<endl;<br />     
  IloInt nAsset = floors.getSize();
  if(ceilings.getSize()!=nAsset){
  cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y floors contiene=" << floors.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /> &nbsp; if(maxPurchases.getSize()!=nAsset){<br /> &nbsp; cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y maxPurchases contiene=" << maxPurchases.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /> &nbsp; if(maxSales.getSize()!=nAsset){<br /> &nbsp; cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y maxSales contiene=" << maxSales.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /><br /> &nbsp; if(minPurchases.getSize()!=nAsset){<br /> &nbsp; cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y minPurchases contiene=" << minPurchases.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /> &nbsp; if(minSales.getSize()!=nAsset){<br /> &nbsp; cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y minSales contiene=" << minSales.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /> &nbsp; if(initialX.getSize()!=nAsset){<br /> &nbsp; cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y initialX contiene=" << initialX.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /> &nbsp; if(returns.getSize()!=nAsset){<br /> &nbsp; cerr << "Tamaño inconsistente nAsset=" <<nAsset <<" y returnscontiene=" << returns.getSize()<<endl;<br /> &nbsp; throw (-1);<br />&nbsp; &nbsp; &nbsp; }<br /><br /><br />&nbsp; <br />&nbsp; &nbsp; &nbsp; // Build model<br /> &nbsp; IloModel&nbsp; &nbsp; &nbsp; model(env);<br />&nbsp; &nbsp; &nbsp; IloNumVarArray X(env); <br />&nbsp; <br />&nbsp; &nbsp; &nbsp; &nbsp; buildModelByRow( model, X, floors, ceilings,maxPurchases,minPurchases,maxSales,minSales,<br /> &nbsp; initialX, returns, Cov,varType);<br /><br />&nbsp; &nbsp; &nbsp; // Solve model<br />&nbsp; &nbsp; &nbsp; IloCplex cplex(model);<br />&nbsp; &nbsp; &nbsp; cplex.exportModel("diet.lp");<br />
      cplex.solve();
      cplex.out() << "solution status = " << cplex.getStatus() << endl;<br />
      cplex.out() << "cost  = " << cplex.getObjValue() << endl;<br />
      for (i = 0; i < X.getSize(); i++) {<br />        cplex.out() << "  X" << i << " = " << cplex.getValue(X&#91;i&#93;) << endl;<br />      }
  cplex.out() << "X = " <<&nbsp; X << endl;<br />  }
  catch (IloException& ex) {
      cerr << "Error: " << ex << endl;<br />  }
  catch (...) {
      cerr << "Error" << endl;<br />  }

  env.end();

  return 0;
}

----------------------------------
These are the errors:

[font=Verdana]C:\ILOG\cplex81\examples\msvc6\stat_sta\copiaPortfolio3.cpp(79) : error C2451: conditional expression of type 'class IloRange' is illegal
        No user-defined-conversion operator available that can perform this conversion, or the operator cannot be called
C:\ILOG\cplex81\examples\msvc6\stat_sta\copiaPortfolio3.cpp(79) : error C2593: 'operator =' is ambiguous
C:\ILOG\cplex81\examples\msvc6\stat_sta\copiaPortfolio3.cpp(88) : error C2451: conditional expression of type 'class IloRange' is illegal
        No user-defined-conversion operator available that can perform this conversion, or the operator cannot be called
C:\ILOG\cplex81\examples\msvc6\stat_sta\copiaPortfolio3.cpp(88) : error C2593: 'operator =' is ambiguous
Error executing cl.exe.[/font]

[B]Can somebody help me?[/B]

[font=Verdana][size=10pt]Thanks!!![/size][/font]
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: SystemAdmin

[oussedik said:]

Hi Adriana,

I see you got answers on another post. Have you been able to run your markowitz model?

Sofiane
#CPLEXOptimizers
#DecisionOptimization