Originally posted by: SystemAdmin

[freedomfly said:]

I want to compute some some variables such as cov[i][j] ,r[i] before minimizing, how to do it? thanks!

the code is the following(it does not work).

int T=...;
int N=...;
int K=...;
float l=...;
float u=...;
float a=...;
float c=...;
//float b=...;
range t=1..T;
range i=1..N;
range j=1..N;
float z[i]=...;
float weight0[i];
float stockreturn[t][i]=...;
//float indexreturn[t]=...;
dvar float+ weight[i];
dvar float+ weight1[i];
dvar float+ weight2[i];
dvar boolean  y[1..N];
dexpr float r[i]=sum(t in 1..T)stockreturn[t][i]/T;
dexpr float cov[i][j]=(1/T)*sum(t in 1..T)(stockreturn[t][i]-r[i])*(stockreturn[t][j]-r[j]);
     
minimize
  sum(i,j in 1..N )
      cov[i][j]*(weight[i]-weight0[i])*(weight[j]-weight0[j]);
   
   
subject to {
       
      sum( i in 1..N )
          //weight[i]==1.0;
        (weight[i]+a*weight1[i]+a*weight2[i])==1.0;
      sum(i in 1..N)
            y[i]<=K;<br />        forall(i in 1..N)
            l*y[i]-weight[i]<=0;<br />        forall(i in 1..N)
           weight[i]-u*y[i]<=0;<br />        sum(i in 1..N )
        (a*weight1[i]+a*weight2[i]-c)<=0;<br />        forall(i in 1..N)
          weight[i]-weight1[i]+weight2[i]-z[i]==0;
       
             
}
execute DISPLAY {
for (var s=1; s<=N; s++)<br /> {writeln("weight[s] = ",weight[s])}

}         


freedomfly
#DecisionOptimization
#OPLusingCPOptimizer

Originally posted by: SystemAdmin

[alain.chabrier said:]

HI,

seems like cov is not a expression on "decision variables" (i.e. variables passed to the engine on which decisions are taken).
It is simply a calculated array of data.
You should try with :
float cov[j]=(1/T)*sum(t in 1..T)(stockreturn[t]-r)*(stockreturn[t][j]-r[j]);

the initialization should say on which index j is to be used, like :
float cov[j in XXXX]=(1/T)*sum(t in 1..T)(stockreturn[t]-r)*(stockreturn[t][j]-r[j]);

Same thing for r.

Hope this helps,

Alain
#DecisionOptimization
#OPLusingCPOptimizer