Re: [ojAlgo-user] ExpressionsBasedModel and absolute constraints

[Anthony E. <ant...@al...>]

Hi Anders.  Thanks for that - it certainly is really a 'how do I do this 
with ojalgo' and in particular will benefit anyone using ojalgo for 
long/short portfolio optimisation problems where they wish to constrain 
the limits on the degree of long/short bias that the portfolio can have.

I guess that its a case of adding an Expression to the 
ExpressionBasedModel that encapsulates this 'sum of absolute values' 
modelling formulation.

I have looked at the very flexible setLinearFactor methods for the 
Expression class and am wondering if i need to somehow use the 
setLinearFactors(List<Variable>, Access1D) or possibly create a variable 
that is the absolute value of the existing variable (the weights of the 
portfolio in this specific case) and then use the 
setLinearFactor(Variable, Number) method of the Expression class.

If I can understand how to code this withing the ojalgo framework I'm 
sure it will benefit the community as I've looked into this for a while 
and I must be missing something.

Thanks - appreciate your time and help with this.

Tony



On 16/02/15 13:11, Anders Peterson wrote:
> This is a modelling question not directly related to ojAlgo, Strictly speaking you're off topic for this mailing list, but I'm leaning towards allowing it if the discussion context is "how do I do this with ojAlgo". I will however only participate if the discussion leads to more concrete questions regarding ojAlgo.
>
> /Anders
>
>
>
>> On 16 feb 2015, at 13:01, Anthony Edwards <ant...@al...> wrote:
>>
>> Hi
>>
>> I am using an expressions based model (for a portfolio optimisation
>> problem) and can add a constraint such that the sum of the weights in
>> the portfolio is equals to 1 as follows:
>>
>> Expression balanceExpr = model.addExpression("Balance");
>>              for (int i=0; i<ers.length; i++)
>> balanceExpr.setLinearFactor(i, BigMath.ONE);
>>              balanceExpr.lower(BigMath.ONE);
>>              balanceExpr.upper(BigMath.ONE);
>>
>> What I would like to do is add another constrains such that the sum of
>> the absolute values of the weights is less than 2.  Any idea how I can
>> do this?  There is no setAbsoluteValueLinearFactor function or any way
>> of doing this as far as I can see.
>>
>> Any pointers would be gratefully appreciated!
>>
>> Thanks
>>
>> Tony
>>
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