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getting_started

getting_started - Xpress-MP Getting Started Release 2008...

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Xpress-MP Getting Started Release 2008 Last update 25 June, 2008
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Published by Fair Isaac Corporation c Copyright Fair Isaac Corporation 2008. All rights reserved. All trademarks referenced in this manual that are not the property of Fair Isaac are acknowledged. All companies, products, names and data contained within this book are completely fictitious and are used solely to illustrate the use of Xpress-MP. Any similarity between these names or data and reality is purely coincidental. How to Contact Fair Isaac USA, Canada and all Americas Information and Sales: [email protected] Licensing: [email protected] Product Support: [email protected] Tel: +1 (201) 567 9445 Fax: +1 (201) 567 9443 Fair Isaac 560 Sylvan Avenue Englewood Cliffs NJ 07632 USA Japan Information and Sales: [email protected] Licensing: [email protected] Product Support: [email protected] Tel: +81 43 297 8836 Fax: +81 43 297 8827 Dash Optimization Japan WBG Marive-East 21F FASuC B2124 2-6 Nakase Mihama-ku 261-7121 Chiba Japan Worldwide Information and Sales: [email protected] Licensing: [email protected] Product Support: [email protected] Tel: +44 1926 315862 Fax: +44 1926 315854 Fair Isaac Leam House, 64 Trinity Street Leamington Spa Warwickshire CV32 5YN UK For the latest news and Xpress-MP software and documentation updates, please visit the Xpress-MP website at http://www.dashoptimization.com or subscribe to our mailing list.
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Contents Preface 1 Whom this book is intended for . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 How to read this book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Using the Mosel language with IVE . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Working in a programming language environment . . . . . . . . . . . . . . . . . . 2 1 Introduction 4 1.1 Mathematical Programming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.2 Xpress-MP product suite . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1.2.1 Note on product versions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2 Building models 7 2.1 Example problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 I Getting started with Mosel 10 3 Inputting and solving a Linear Programming problem 11 3.1 Starting up Xpress-IVE and creating a new model . . . . . . . . . . . . . . . . . . . 11 3.2 LP model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.2.1 General structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.2.2 Solving . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.2.3 Output printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 3.2.4 Formating . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 3.3 Correcting errors and debugging a model . . . . . . . . . . . . . . . . . . . . . . . . 14 3.3.1 Debugging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 3.4 Solving, optimization displays, and viewing the solution . . . . . . . . . . . . . . . 17 3.4.1 String indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 4 Working with data 21 4.1 Data input from file . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 4.2 Formated data output to file . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 4.3 Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 4.4 Complete example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 5 Drawing user graphs 25 5.1 Extended problem description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 5.2 Looping over optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 5.3 Drawing a user graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 5.4 Complete example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 6 Mixed Integer Programming 30 6.1 Extended problem description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 6.2 MIP model 1: limiting the number of different shares . . . . . . . . . . . . . . . . . 30 6.2.1 Implementation with Mosel . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 6.2.2 Analyzing the solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 6.3 MIP model 2: imposing a minimum investment in each share . . . . . . . . . . . . 35 6.3.1 Implementation with Mosel . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 i Getting started
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7 Quadratic Programming 37 7.1 Problem description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 7.2 QP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 7.2.1 Implementation with Mosel . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 7.3 MIQP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 7.3.1 Implementation with Mosel . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 7.3.2 Analyzing the solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 8 Heuristics 44 8.1 Binary variable fixing heuristic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44 8.2 Implementation with Mosel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44 8.2.1 Subroutines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 8.2.2 Optimizer parameters and functions . . . . . . . . . . . . . . . . . . . . . . . 47 8.2.3 Comparison tolerance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 9 Embedding a Mosel model in an application 49 9.1
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