Quadratic Programming in C# QuickStart Sample

Illustrates how to solve optimization problems a quadratic objective function and linear constraints using classes in the Extreme.Mathematics.Optimization namespace in C#.

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using System;

using Extreme.Mathematics;
// The quadratic programming classes reside in their own namespace.
using Extreme.Mathematics.Optimization;

namespace Extreme.Numerics.QuickStart.CSharp {
    /// <summary>
    /// Illustrates solving quadratic programming problems
    /// using the classes in the Extreme.Mathematics.Optimization
    /// namespace of Extreme Numerics.NET.
    /// </summary>
    class QuadraticProgramming {
        static void Main(string[] args) {
            // The license is verified at runtime. We're using
            // a demo license here. For more information, see
            // https://numerics.net/trial-key
            Extreme.License.Verify("Demo license");

            // This QuickStart Sample illustrates the quadratic programming
            // functionality by solving a portfolio optimization problem.

            // Portfolio optimization is a common application of QP.
            // For a collection of assets, the goal is to minimize
            // the risk (variance of the return) while achieving
            // a minimal return for a set maximum amount invested.

            // The variables are the amounts invested in each asset.
            // The quadratic term is the covariance matrix of the assets.
            // THere is no linear term in this case.

            // There are three ways to create a Quadratic Program.

            // The first is in terms of matrices. The coefficients
            // of the constraints and the quadratic terms are supplied 
            // as matrices. The cost vector, right-hand side and 
            // constraints on the variables are supplied as vectors.

            // The linear term in the objective function:
            var c = Vector.CreateConstant(4, 0.0);
            // The quaratic term in the objective function:
            var R = Matrix.CreateSymmetric(4,
                new double[] 
                    -0.05, 0.16,-0.02,-0.02,
                    -0.05,-0.02, 0.35, 0.06,
                    -0.05,-0.02, 0.06, 0.35
                }, MatrixTriangle.Upper, MatrixElementOrder.ColumnMajor);
            // The coefficients of the constraints:
            var A = Matrix.Create(2, 4, new double[] 
                1, 1, 1, 1,
                -0.05, 0.2, -0.15, -0.30
            }, MatrixElementOrder.RowMajor);
            // The right-hand sides of the constraints:
            var b = Vector.Create(10000.0, -1000.0);

            // We're now ready to call the constructor.
            // The last parameter specifies the number of equality
            // constraints.
            var qp1 = new QuadraticProgram(c, R, A, b, 0);

            // Now we can call the Solve method to run the Revised
            // Simplex algorithm:
            var x = qp1.Solve();
            Console.WriteLine("Solution: {0:F1}", x);
            // The optimal value is returned by the Extremum property:
            Console.WriteLine("Optimal value:   {0:F1}", qp1.OptimalValue);

            // The second way to create a Quadratic Program is by constructing
            // it by hand. We start with an 'empty' quadratic program.
            var qp2 = new QuadraticProgram();

            // Next, we add two variables: we specify the name, the cost,
            // and optionally the lower and upper bound.
            qp2.AddVariable("X1", 0.0);
            qp2.AddVariable("X2", 0.0);
            qp2.AddVariable("X3", 0.0);
            qp2.AddVariable("X4", 0.0);

            // Next, we add constraints. Constraints also have a name.
            // We also specify the coefficients of the variables,
            // the lower bound and the upper bound.
            qp2.AddLinearConstraint("C1", Vector.Create(1.0, 1.0, 1.0, 1.0), ConstraintType.LessThanOrEqual, 10000);
            qp2.AddLinearConstraint("C2", Vector.Create(0.05, -0.2, 0.15, 0.3), ConstraintType.GreaterThanOrEqual, 1000);
            // If a constraint is a simple equality or inequality constraint,
            // you can supply a QuadraticProgramConstraintType value and the
            // right-hand side of the constraint.

            // Quadratic terms must be set individually.
            // Each combination appears at most once.
            qp2.SetQuadraticCoefficient("X1", "X1", 0.08);
            qp2.SetQuadraticCoefficient("X1", "X2", -0.05 * 2);
            qp2.SetQuadraticCoefficient("X1", "X3", -0.05 * 2);
            qp2.SetQuadraticCoefficient("X1", "X4", -0.05 * 2);
            qp2.SetQuadraticCoefficient("X2", "X2", 0.16);
            qp2.SetQuadraticCoefficient("X2", "X3", -0.02 * 2);
            qp2.SetQuadraticCoefficient("X2", "X4", -0.02 * 2);
            qp2.SetQuadraticCoefficient("X3", "X3", 0.35);
            qp2.SetQuadraticCoefficient("X3", "X4", 0.06 * 2);
            qp2.SetQuadraticCoefficient("X4", "X4", 0.35);

            // We can now solve the quadratic program:
            x = qp2.Solve();
            Console.WriteLine("Solution: {0:F1}", x);
            Console.WriteLine("Optimal value:   {0:F1}", qp2.OptimalValue);

            // Finally, we can create a quadratic program from an MPS file.
            // The MPS format is a standard format.
            var qp3 = MpsReader.ReadQuadraticProgram(@"..\..\..\..\data\portfolio.qps");
            // We can go straight to solving the quadratic program:
            x = qp3.Solve();
            Console.WriteLine("Solution: {0:F1}", x);
            Console.WriteLine("Optimal value:   {0:F1}", qp3.OptimalValue);

            Console.Write("Press Enter key to exit...");