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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
###############################################################################
# FUNCTION: DESCRIPTION:
# ramplQP Rmetrics Interface for AMPL QP solvers
# amplQP Convenience wrapper for AMPL QP solvers
# amplQPControl AMPL QP control parameter list
###############################################################################
ramplQP <-
function(objective, lower=0, upper=1, linCons, control=list())
{
# A function implemented by Diethelm Wuertz
# Description:
# Rmetrics Interface for AMPL QP solvers
# Arguments:
# objective - list(dvec=NULL, Dmat = NULL)
# FUNCTION:
# Control List:
ctrl <- amplQPControl()
if (length(control) > 0)
for (name in names(control)) ctrl[name] = control[name]
control <- ctrl
# Controls:
project <- control$project
solver <- control$solver
inf <- control$inf
trace <- control$trace
# General Settings:
dvec <- objective$dvec
Dmat <- objective$Dmat
obj <- rbind(dvec, Dmat)
# Box Constraints:
replicate <- function(x, n) if(length(x) == 1) rep(x, n) else x
n <- ncol(obj)
x_L <- replicate(lower, n)
x_U <- replicate(upper, n)
x_L[is.infinite(x_L)] <- inf*sign(x_L[is.infinite(x_L)])
x_U[is.infinite(x_U)] <- inf*sign(x_U[is.infinite(x_U)])
# Linear Constraints:
A <- linCons[[1]]
m <- nrow(A)
b_L <- replicate(linCons[[2]], m)
b_U <- replicate(linCons[[3]], m)
b_L[is.infinite(b_L)] <- inf*sign(b_L[is.infinite(b_L)])
b_U[is.infinite(b_U)] <- inf*sign(b_U[is.infinite(b_U)])
# Optimize Portfolio:
value <- amplQP(objective, x_L, x_U, A, b_L, b_U, control)
# Return Value:
value
}
###############################################################################
amplQP <-
function(
objective=list(dvec=NULL, Dmat=NULL),
x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
control=list(), ...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Convenience wrapper for AMPL QP solvers
# Arguments:
# objective - list(dvec=NULL, Dmat = NULL)
# FUNCTION:
# Control List:
ctrl <- amplQPControl()
if (length(control) > 0)
for (name in names(control)) ctrl[name] = control[name]
control <- ctrl
# Control Parameters:
project <- control$project
solver <- control$solver
inf <- control$inf
trace <- control$trace
# Solver Settings:
c <- objective$dvec
F <- objective$Dmat
obj <- rbind(c, F)
n <- ncol(obj)
m <- nrow(A)
# Assign QP Model:
.qpAssign(project, c, F, x_L, x_U, A, b_L, b_U , trace=FALSE)
# Run AMPL:
command <- paste("ampl -t -vs", paste(project, "run", sep="."))
solve <- system(command, intern=TRUE)
# Read AMPL Output File:
file <- paste(project, "txt", sep = ".")
out <- scan(file, what=character(0), sep="\n", quiet=TRUE)
# Get Weights:
Index <- (grep(";", out) - 1)[1]
splits <- strsplit(paste(out[2:Index], collapse=" "), " ")[[1]]
solution <- as.numeric(splits[splits != ""])[seq(2, 2*n, by=2)]
Index <- as.numeric(splits[splits != ""])[seq(1, 2*n, by=2)]
solution[Index] <- solution
# Get Status:
status <- strsplit(out[grep("solve_result", out)], split=" ")
statusCode <- status[[1]][3]
statusMessage <- status[[2]][3]
# Get Solver Message:
Index <- grep("solve_message", out):length(out)
message <- out[Index]
# Version:
version <- system(paste(solver, "-v"), intern=TRUE)
# Compose Results into a List:
objective <- (c %*% solution + 0.5 * solution %*% F %*% solution)[[1, 1]]
# Return Value:
model <- capture.output(amplModelShow(project))
run <- capture.output(amplRunShow(project))
value <- list(
opt = list(solve=solve, model=model, run=run, out=out),
solution = solution,
objective = objective,
status = statusCode,
message = statusMessage,
solver = paste("AMPL", solver),
version = version)
class(value) <- c("solver", "list")
value
}
# -----------------------------------------------------------------------------
amplQPControl <-
function(solver="ipopt", project="ampl", inf=1e12, trace=FALSE)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns AMPL QP control parameter list
# FUNCTION:
# Control Parameter:
control <- list(solver=solver, project=project, inf=inf, trace=trace)
# Return Value:
control
}
###############################################################################
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