Re: [ojAlgo-user] QuadraticSolver issue

[Simon G. <si...@ya...>]

package temporaryapp;

/*
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 * and open the template in the editor.
 */
/**
 *
 * @author simon
 */
import ms2Utils.FileUtils;
import org.ojalgo.optimisation.quadratic.*;
import org.ojalgo.matrix.BasicMatrix;
import org.ojalgo.optimisation.OptimisationSolver.Result;
import org.ojalgo.optimisation.*;
import org.ojalgo.matrix.store.*;

public class TempClass {

    private double var, ret, fxd_ret;
    private double[] C;
    private double[][] Q;
    private String[] var_names;
    
    public static void TempClass() {
    }

    public static void main(String[] args) {
        double[][] cov_mat = strng2Dbl(FileUtils.fileToArray("/home/simon/Documents/Frontera Eficiente de Markowitz/COVAR_MATRIX.txt", "\t"));
        double[] r = strng2Dbl(FileUtils.fileToList("/home/simon/Documents/Frontera Eficiente de Markowitz/RETURN.txt"));
        String[] vars = FileUtils.fileToList("/home/simon/Documents/Frontera Eficiente de Markowitz/VARS.txt");

        TempClass FE = new TempClass();
        FE.setQ(cov_mat);
        FE.setC(r);
        FE.setVar_names(vars);
//        FE.minimizeVarMinusReturn();
        FE.minimizeVarGivenReturn(0.3);
    }

    private void minimizeVarMinusReturn() {
        /* CREACION DE VARIABLES COMPATIBLES CON LA LIBRERIA OjAlgo
         */
        double[][] c_temp = new double[Q[0].length][1];
        for (int i = 0; i < c_temp.length; i++) {
            c_temp[i][0] = C[i];
        }
        double[] ae = new double[Q.length];
        double[][] ai = new double[Q[0].length][Q.length];
        double[][] be = new double[1][1];
        be[0][0] = 1;
        double[][] bi = new double[Q[0].length][1];
        for (int i = 0; i < Q.length; i++) {
            ae[i] = 1;
            bi[i][0] = 1;
        }
        for (int i = 0; i < ai.length; i++) {
            for (int j = 0; j < ai[0].length; j++) {
                if (i == j) {
                    ai[i][j] = 1;
                } else {
                    ai[i][j] = 0;
                }
            }
        }
        final PhysicalStore<Double> Q_aux = PrimitiveDenseStore.FACTORY.copy(Q);
        final PhysicalStore<Double> C_aux = PrimitiveDenseStore.FACTORY.copy(c_temp);
        final PhysicalStore<Double> aux_AE = PrimitiveDenseStore.FACTORY.makeColumn(ae);
        final PhysicalStore<Double> aux_BE = PrimitiveDenseStore.FACTORY.copy(be);
        final PhysicalStore<Double> aux_AI = PrimitiveDenseStore.FACTORY.copy(ai);
        final PhysicalStore<Double> aux_BI = PrimitiveDenseStore.FACTORY.copy(bi);
        MatrixStore Q_ms = Q_aux.copy();
        MatrixStore C_ms = C_aux.copy();
        MatrixStore AE_ms = aux_AE.copy().transpose();
        MatrixStore BE_ms = aux_BE.copy();
        MatrixStore AI_ms = aux_AI.copy().transpose();
        MatrixStore BI_ms = aux_BI.copy();
        Variable[] VARIABLE = new Variable[var_names.length];
        for (int i = 0; i < var_names.length; i++) {
            VARIABLE[i] = new Variable(var_names[i]);
            System.out.println(VARIABLE[i].toString());
        }
        /* FIN CREACION DE VARIABLES COMPATIBLES CON LA LIBRERIA OjAlgo
         */

        /* INICIALIZACION DE OBJETO QUADRATIC SOLVER
         */
        QuadraticExpressionsModel qem = new QuadraticExpressionsModel(VARIABLE);
        QuadraticSolver.Builder qdrtc_slvr_bldr = new QuadraticSolver.Builder(qem).objective(Q_ms, C_ms).equalities(AE_ms, BE_ms).inequalities(AI_ms, BI_ms);
        QuadraticSolver qdrtc_slvr = qdrtc_slvr_bldr.build();
        /* FIN INICIALIZACION DE OBJETO QUADRATIC SOLVER
         */

        /* RESULTADOS
         */
        Result rslt = qdrtc_slvr.solve();
        BasicMatrix rslt_mtrx = rslt.getSolution();
        PhysicalStore<Double> result = rslt_mtrx.toPrimitiveStore();
        var = result.transpose().multiplyRight(Q_ms).multiplyRight(result).get(0, 0);
        ret = C_aux.transpose().multiplyRight(result).get(0, 0);

        System.out.println("\nRESULT");
        for (int i = 0; i < rslt_mtrx.getRowDim(); i++) {
            for (int j = 0; j < rslt_mtrx.getColDim(); j++) {
                System.out.println(rslt_mtrx.doubleValue(i, j) + " ");
            }
            System.out.println();
        }
        System.out.println("\nVARIANCE " + var);
        System.out.println("\nRETORNO " + ret);
        /* FIN RESULTADOS
         */
    }

    private void minimizeVarGivenReturn(double given_return) {
        setFxd_ret(given_return);
        /* CREACION DE VARIABLES COMPATIBLES CON LA LIBRERIA OjAlgo
         * Aqui haremos que los retornos entren en las restricciones. Esto significa
         * que en vez de introducir los retornos en la matriz C, esta sera zeros
         * y los retornos entraran en AE. De esta manera se obtienen retornos
         * iguales a fxd_ret.
         */
        double[][] c_temp = new double[Q[0].length][1];
        for (int i = 0; i < c_temp.length; i++) {
            c_temp[i][0] = 0;
        }
        double[][] ae = new double[2][Q.length];
        double[][] ai = new double[Q[0].length][Q.length];
        double[][] be = new double[2][1];
        be[0][0] = 1;
        be[1][0] = fxd_ret;
        double[][] bi = new double[Q[0].length][1];
        for (int i = 0; i < Q.length; i++) {
            ae[0][i] = 1;
            ae[1][i] = C[i];
            bi[i][0] = 1;
        }
        for (int i = 0; i < ai.length; i++) {
            for (int j = 0; j < ai[0].length; j++) {
                if (i == j) {
                    ai[i][j] = 1;
                } else {
                    ai[i][j] = 0;
                }
            }
        }
        final PhysicalStore<Double> Q_aux = PrimitiveDenseStore.FACTORY.copy(Q);
        final PhysicalStore<Double> C_aux = PrimitiveDenseStore.FACTORY.copy(c_temp);
        final PhysicalStore<Double> aux_AE = PrimitiveDenseStore.FACTORY.copy(ae);
        final PhysicalStore<Double> aux_BE = PrimitiveDenseStore.FACTORY.copy(be);
        final PhysicalStore<Double> aux_AI = PrimitiveDenseStore.FACTORY.copy(ai);
        final PhysicalStore<Double> aux_BI = PrimitiveDenseStore.FACTORY.copy(bi);
        MatrixStore Q_ms = Q_aux.copy();
        MatrixStore C_ms = C_aux.copy();
        MatrixStore AE_ms = aux_AE.copy();
        MatrixStore BE_ms = aux_BE.copy();
        MatrixStore AI_ms = aux_AI.copy().transpose();
        MatrixStore BI_ms = aux_BI.copy();
        Variable[] VARIABLE = new Variable[var_names.length];
        for (int i = 0; i < var_names.length; i++) {
            VARIABLE[i] = new Variable(var_names[i]);
            System.out.println(VARIABLE[i].toString());
        }
        /* FIN CREACION DE VARIABLES COMPATIBLES CON LA LIBRERIA OjAlgo
         */

        /* INICIALIZACION DE OBJETO QUADRATIC SOLVER
         */
        QuadraticExpressionsModel qem = new QuadraticExpressionsModel(VARIABLE);
        QuadraticSolver.Builder qdrtc_slvr_bldr = new QuadraticSolver.Builder(qem).objective(Q_ms, C_ms).equalities(AE_ms, BE_ms).inequalities(AI_ms, BI_ms);
        QuadraticSolver qdrtc_slvr = qdrtc_slvr_bldr.build();
        /* FIN INICIALIZACION DE OBJETO QUADRATIC SOLVER
         */

        /* RESULTADOS
         */
        Result rslt = qdrtc_slvr.solve();
        BasicMatrix rslt_mtrx = rslt.getSolution();
        PhysicalStore<Double> result = rslt_mtrx.toPrimitiveStore();
        var = result.transpose().multiplyRight(Q_ms).multiplyRight(result).get(0, 0);

        System.out.println("\nRESULT");
        for (int i = 0; i < rslt_mtrx.getRowDim(); i++) {
            for (int j = 0; j < rslt_mtrx.getColDim(); j++) {
                System.out.println(rslt_mtrx.doubleValue(i, j) + " ");
            }
            System.out.println();
        }
        System.out.println("\nVARIANCE " + var);
        /* FIN RESULTADOS
         */
    }

    private static double[][] strng2Dbl(String[][] strng_mat) {
        double[][] mat = new double[strng_mat.length][strng_mat[0].length];
        for (int i = 0; i < strng_mat.length; i++) {
            for (int j = 0; j < strng_mat[0].length; j++) {
                mat[i][j] = Double.parseDouble(strng_mat[i][j]);
            }
        }
        return mat;
    }

    private static double[] strng2Dbl(String[] strng_vec) {
        double[] vec = new double[strng_vec.length];
        for (int i = 0; i < strng_vec.length; i++) {
            vec[i] = Double.parseDouble(strng_vec[i]);
        }
        return vec;
    }

    /**
     * @param R the R to set
     */
    public void setC(double[] C) {
        this.C = C;
    }

    /**
     * @param W the W to set
     */
    public void setQ(double[][] Q) {
        this.Q = Q;
    }

    /**
     * @return the var
     */
    public double getVar() {
        return var;
    }

    /**
     * @return the ret
     */
    public double getRet() {
        return ret;
    }

    /**
     * @param var_names the var_names to set
     */
    public void setVar_names(String[] var_names) {
        this.var_names = var_names;
    }

    /**
     * @param fxd_ret the fxd_ret to set
     */
    public void setFxd_ret(double fxd_ret) {
        this.fxd_ret = fxd_ret;
    }
}