lect2 - ISE 536–Fall03 Linear Programming and Extensions...

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Unformatted text preview: ISE 536–Fall03: Linear Programming and Extensions September 3, 2003 Lecture 2: Intro. – Examples and Transformations Lecturer: Fernando Ord´ o˜nez 1 More LP Examples 1.1 Investment Suppose that 5 investment alternatives are described by the following table, where for example investment A is available in 2003 and returns a 30% on 2004 and 100% on 2005. Year A B C D E 2003-1.00-1.00-1.00 2004 +0.30-1.00 +1.10 2005 +1.00 +0.30-1.00 2006 1.00 +1.75 +1.40 Limit $500,000 None $500,000 None $750,00 In addition any available cash can be placed in an interest account earning 4% per year. With $1,000,000, what is the optimal investment strategy? 1 To: [email protected] From: Fernando Ordonez <[email protected]> TYPE LP SOLVER MOSEK-AMPL BEGIN.MOD var A >= 0 <= 0.5; var B >= 0; var C >= 0 <= 0.5; var D >= 0; var E >= 0 <= 0.75; var M3 >= 0; var M4 >= 0; var M5 >= 0; maximize final_return: B + 1.75*D + 1.40*E + 1.04*M5; subject to initial_budget: M3+A+C+D = 1; subject to year_04: B + M4 - 0.3*A - 1.1*C - 1.04*M3 = 0;subject to year_04: B + M4 - 0....
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lect2 - ISE 536–Fall03 Linear Programming and Extensions...

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