def do_pyomo_work(profit_rate_windows):
Products = ['Doors', 'Windows']
ProfitRate = {'Doors': 300, 'Windows': profit_rate_windows}
Plants = ['Door Fab', 'Window Fab', 'Assembly']
HoursAvailable = {'Door Fab': 4, 'Window Fab': 12, 'Assembly': 18}
HoursPerUnit = {
('Doors', 'Door Fab'): 1,
('Windows', 'Window Fab'): 2,
('Doors', 'Assembly'): 3,
('Windows', 'Assembly'): 2,
('Windows', 'Door Fab'): 0,
('Doors', 'Window Fab'): 0
}
#Concrete Model
model = ConcreteModel()
#Decision Variables
model.WeeklyProd = Var(Products, within=NonNegativeReals)
#Objective
model.obj = Objective(expr=sum(ProfitRate[i] * model.WeeklyProd[i]
for i in Products),
sense=maximize)
def CapacityRule(model, p):
"""User Defined Capacity Rule
Accepts a pyomo Concrete Model as the first positional argument,
and a list of Plants as a second positional argument
"""
return sum(HoursPerUnit[i, p] * model.WeeklyProd[i]
for i in Products) <= HoursAvailable[p]
model.Capacity = Constraint(Plants, rule=CapacityRule)
opt = SolverFactory("glpk")
instance = model.create()
results = opt.solve(instance)
#results.write()
return results.Solution()
def __init__(self,
cov,
occ,
groups_4digit,
allele_table,
beta,
t_max_allele=2,
solver="glpk",
threads=1,
verbosity=0):
"""
Constructor
"""
self.__allele_table = allele_table
self.__beta = float(beta)
self.__t_max_allele = t_max_allele
self.__solver = SolverFactory(solver)
self.__threads = threads
self.__verbosity = True if verbosity > 0 else False
self.__changed = True
self.__ks = 1
self.__groups_4digit = groups_4digit
loci_alleles = defaultdict(list)
for type_4digit, group_alleles in groups_4digit.iteritems():
#print type_4digit, group_alleles
loci_alleles[type_4digit.split('*')[0]].extend(group_alleles)
loci = loci_alleles
self.__allele_to_4digit = {
allele: type_4digit
for type_4digit, group in groups_4digit.iteritems()
for allele in group
}
'''
generates the basic ILP model
'''
model = ConcreteModel()
#init Sets
model.LociNames = Set(initialize=loci.keys())
model.Loci = Set(model.LociNames, initialize=lambda m, l: loci[l])
L = list(itertools.chain(*loci.values()))
reconst = {allele_id: 0.01 for allele_id in L if '_' in allele_id}
R = set([r for (r, _) in cov.keys()])
model.L = Set(initialize=L)
model.R = Set(initialize=R)
#init Params
model.cov = Param(model.R,
model.L,
initialize=lambda model, r, a: cov.get((r, a), 0))
model.reconst = Param(model.L,
initialize=lambda model, a: reconst.get(a, 0))
model.occ = Param(model.R, initialize=occ)
model.t_allele = Param(initialize=self.__t_max_allele, mutable=True)
model.beta = Param(
initialize=self.__beta,
validate=lambda val, model: 0.0 <= float(self.__beta) <= 0.999,
mutable=True)
model.nof_loci = Param(initialize=len(loci))
#init variables
model.x = Var(model.L, domain=Binary)
model.y = Var(model.R, domain=Binary)
model.re = Var(model.R, bounds=(0.0, None))
model.hetero = Var(bounds=(0.0, model.nof_loci))
#init objective
model.read_cov = Objective(rule=lambda model: sum(
model.occ[r] * (model.y[r] - model.beta * (model.re[r]))
for r in model.R) - sum(model.reconst[a] * model.x[a]
for a in model.L),
sense=maximize)
#init Constraints
model.max_allel_selection = Constraint(
model.LociNames,
rule=lambda model, l: sum(model.x[a] for a in model.Loci[l]
) <= model.t_allele)
model.min_allel_selection = Constraint(
model.LociNames,
rule=lambda model, l: sum(model.x[a] for a in model.Loci[l]) >= 1)
model.is_read_cov = Constraint(
model.R,
rule=lambda model, r: sum(model.cov[r, a] * model.x[a]
for a in model.L) >= model.y[r])
model.heterozygot_count = Constraint(
rule=lambda model: model.hetero >= sum(model.x[a] for a in model.L
) - model.nof_loci)
#regularization constraints
model.reg1 = Constraint(
model.R,
rule=lambda model, r: model.re[r] <= model.nof_loci * model.y[r])
model.reg2 = Constraint(
model.R, rule=lambda model, r: model.re[r] <= model.hetero)
model.reg3 = Constraint(model.R,
rule=lambda model, r: model.re[r] >= model.
hetero - model.nof_loci * (1 - model.y[r]))
#generate constraint list for solution enumeration
model.c = ConstraintList()
#generate instance
self.__instance = model.create()
#Explicit importing makes it more clear what a user needs to define
#versus what is included within the pyomo library
from coopr.pyomo import (ConcreteModel, Objective, Var, NonNegativeIntegers, maximize, Constraint)
Products = ['Doors', 'Windows', 'Tables']
ProfitRate = {'Doors':0.300, 'Windows':0.500, 'Tables':0.430}
Plants = ['Door Fab', 'Window Fab', 'Assembly']
HoursAvailable = {'Door Fab':4, 'Window Fab':4, 'Assembly':3}
HoursPerUnit = {('Doors','Door Fab'):0.21, ('Windows', 'Window Fab'):0.52,
('Doors','Assembly'):0.23, ('Windows', 'Assembly'):0.32,
('Windows', 'Door Fab'):0.30,('Doors', 'Window Fab'):0.20,
('Tables','Door Fab'):0.29, ('Tables','Window Fab'):0.34,
('Tables', 'Assembly'):0.41}
#Concrete Model
model = ConcreteModel()
#Decision Variables
model.WeeklyProd = Var(Products, within=NonNegativeIntegers)
#Objective
model.obj = Objective(expr=
sum(ProfitRate[i] * model.WeeklyProd[i] for i in Products),
sense = maximize)
for i in Products:
print model.WeeklyProd[i]
def CapacityRule(model, p):
"""User Defined Capacity Rule
Accepts a pyomo Concrete Model as the first positional argument,
def maxRetPortfolio(riskyRetMtx, riskFreeRetVec, buyTransFeeMtx,
sellTransFeeMtx, allocatedWealth):
'''
-假設有T期的資料, 投資在M個risky assets, 以及1個riskfree asset
-在(T+1)期初結算
goal: 最大化T+1期期初財產
@param riskyRetMtx, numpy.array, size: M * T+1
@param riskFreeRetVec, numpy.array, size: T+1
@param buyTransFeeMtx, numpy.array, size: M * T
@param sellTransFeeMtx, numpy.array, size: M * T
@param allocatedWealth, numpy.array, size: (M+1) (最後一個為cash)
@return (buyMtx, sellMtx), numpy.array, each size: M*T
'''
assert buyTransFeeMtx.shape == sellTransFeeMtx.shape
assert riskyRetMtx.shape[1] == riskFreeRetVec.size
M, T = buyTransFeeMtx.shape
t1 = time.time()
#create model
model = ConcreteModel()
#number of asset and number of periods
model.symbols = range(M)
model.T = range(T)
model.Tp1 = range(T + 1)
model.Mp1 = range(M + 1)
#decision variables
model.buys = Var(model.symbols, model.T, within=NonNegativeReals)
model.sells = Var(model.symbols, model.T, within=NonNegativeReals)
model.riskyWealth = Var(model.symbols, model.T, within=NonNegativeReals)
model.riskFreeWealth = Var(model.T, within=NonNegativeReals)
#objective
def objective_rule(model):
wealth = sum((1. + riskyRetMtx[m, T]) * model.riskyWealth[m, T - 1]
for m in xrange(M))
wealth += (1. + riskFreeRetVec[T]) * model.riskFreeWealth[T - 1]
return wealth
model.objective = Objective(rule=objective_rule, sense=maximize)
#constraint
def riskyWealth_constraint_rule(model, m, t):
if t >= 1:
preWealth = model.riskyWealth[m, t - 1]
else:
preWealth = allocatedWealth[m]
return (model.riskyWealth[m,
t] == (1. + riskyRetMtx[m, t]) * preWealth +
model.buys[m, t] - model.sells[m, t])
def riskyFreeWealth_constraint_rule(model, t):
totalSell = sum((1 - sellTransFeeMtx[mdx, t]) * model.sells[mdx, t]
for mdx in xrange(M))
totalBuy = sum((1 + buyTransFeeMtx[mdx, t]) * model.buys[mdx, t]
for mdx in xrange(M))
if t >= 1:
preWealth = model.riskFreeWealth[t - 1]
else:
preWealth = allocatedWealth[-1]
return (
model.riskFreeWealth[t] == (1. + riskFreeRetVec[t]) * preWealth +
totalSell - totalBuy)
model.riskyWeathConstraint = Constraint(model.symbols,
model.T,
rule=riskyWealth_constraint_rule)
model.riskFreeWealthConstraint = Constraint(
model.T, rule=riskyFreeWealth_constraint_rule)
#optimizer
opt = SolverFactory('cplex')
# opt.options["threads"] = 4
instance = model.create()
results = opt.solve(instance)
print results
# instance.load(results)
# display(instance)
# instance.load(results)
# for var in instance.active_components(Var):
# varobj = getattr(instance, var)
# for idx in varobj:
# print varobj[idx], varobj[idx].value
#
print "elapsed %.3f secs" % (time.time() - t1)
def maxRetMultiStagePortfolio(riskyRetMtx, riskFreeRetVec, buyTransFeeMtx,
sellTransFeeMtx, allocatedWealth, symbols,
transDates):
'''
-假設資料共T期, 投資在M個risky assets, 以及1個riskfree asset
-求出每個risky asset每一期應該要買進以及賣出的金額
-最後一期結算不投資
@param riskyRetMtx, numpy.array, size: M * T+1
@param riskFreeRetVec, numpy.array, size: T+1
@param buyTransFeeMtx, numpy.array, size: M * T
@param sellTransFeeMtx, numpy.array, size: M * T
@param allocatedWealth, numpy.array, size: (M+1) (最後一個為cash)
@return (buyMtx, sellMtx), numpy.array, each size: M*T
'''
assert buyTransFeeMtx.shape == sellTransFeeMtx.shape
assert riskyRetMtx.shape[1] == riskFreeRetVec.size
M, T = buyTransFeeMtx.shape
t1 = time.time()
#create model
model = ConcreteModel()
#number of asset and number of periods
model.symbols = range(M)
model.T = range(T)
#decision variables
model.buys = Var(model.symbols, model.T, within=NonNegativeReals)
model.sells = Var(model.symbols, model.T, within=NonNegativeReals)
model.riskyWealth = Var(model.symbols, model.T, within=NonNegativeReals)
model.riskFreeWealth = Var(model.T, within=NonNegativeReals)
#objective
def objective_rule(model):
wealth = sum((1. + riskyRetMtx[m, T]) * model.riskyWealth[m, T - 1]
for m in xrange(M))
wealth += (1. + riskFreeRetVec[T]) * model.riskFreeWealth[T - 1]
return wealth
model.objective = Objective(sense=maximize)
#constraint
def riskyWeathConstraint_rule(model, m, t):
if t >= 1:
preWealth = model.riskyWealth[m, t - 1]
else:
preWealth = allocatedWealth[m]
return (model.riskyWealth[m,
t] == (1. + riskyRetMtx[m, t]) * preWealth +
model.buys[m, t] - model.sells[m, t])
def riskFreeWealthConstraint_rule(model, t):
totalSell = sum((1 - sellTransFeeMtx[mdx, t]) * model.sells[mdx, t]
for mdx in xrange(M))
totalBuy = sum((1 + buyTransFeeMtx[mdx, t]) * model.buys[mdx, t]
for mdx in xrange(M))
if t >= 1:
preWealth = model.riskFreeWealth[t - 1]
else:
preWealth = allocatedWealth[-1]
return (
model.riskFreeWealth[t] == (1. + riskFreeRetVec[t]) * preWealth +
totalSell - totalBuy)
model.riskyWeathConstraint = Constraint(model.symbols, model.T)
model.riskFreeWealthConstraint = Constraint(model.T)
#optimizer
opt = SolverFactory('cplex')
instance = model.create()
results = opt.solve(instance)
print type(results)
print results
#load decision variable
instance.load(results)
display(instance)
# instance.load(results)
# for var in instance.active_components(Var):
# varobj = getattr(instance, var)
# for idx in varobj:
# print varobj[idx], varobj[idx].value
#
# print type(results)
#load objective value
finalWealth = results.Solution.Objective.__default_objective__['value']
print "finalWealth:", finalWealth
print "ret: %.3f %%" % ((finalWealth / 1e5 - 1) * 100)
print "elapsed %.3f secs" % (time.time() - t1)
