PSG Run-File Environment implementation, see Formal Problem Statement

 

Optimization Problem

 

Number of instruments in the portfolio, .

Number of scenarios, .
 

The description of the problem statement for Problem is in file "problem_omega_short.txt":

 

 

Data for Problem are saved in text file:

"matrix_a.txt",

"matrix_aeq.txt",

"matrix_h1.txt", "matrix_h2.txt",

"pmatrix_l.txt",

"pmatrix_u.txt",

"point_lb.txt",

"point_ub.txt".

 

Problem was solved by program Run-File:

 

 

 

The solution report was saved in text file "solution_problem_1.txt":
 

 

Optimal point was saved in text file "point_problem_1.txt":