% Example solves a large scale hedging problem without and with cardinality constraint
% bounding the number of nonzero hedges
% Problem description is explicitly specified by a string in this file
% Input data for a solver (matrices and points) are prepared by the
% CS_CDO_Hedging_MAD_Data_Preparation function using source data extracted from the file CDO1000.mat (or CDO2000.mat).
% file CDO1000.mat (CDO2000.mat)contains raw data for the problem with 1000 (2000) variables;
% Two optimization problem statements: Problem 1 and Problem 2

clc
clear

% load primary data with 1000 variables
load 'CDO1000.mat'; % for 1000 variables

%Comment the previous line and uncomment the next line to solve Problems with 2000 variables
%load 'CDO2000.mat';

%Define Problem 1 statement string:

problem_statement = sprintf('%s\n', ...
'minimize',...
'  meanabs_dev(matrix_scenarios)',...
'Constraint: <= 80, linearize = 1',...
'  polynom_abs(matrix_constraint_budget)',...
'Box: >= point_lowerbounds, <= point_upperbounds',...
'Solver: TANK, precision = 2');

%Display Problem 1 statement:
disp(problem_statement);

%Construct matrices using raw data:
[matrix_scenarios, matrix_constraint_budget]=CS_CDO_Hedging_MAD_Data_Preparation(Pi,BOCds,BOInd,DurCds,DurInd,HistCdsSpread,HistIndSpread);

%Determine total number of columns in the matrix:
loc_arr = size(matrix_constraint_budget);

%Determine number of columns corresponding to decision variables (excluding
% columns "id", "scenario_probability", and "scenario_benchmark"):
numvariables = loc_arr(2)-3; 

%Generate headers for matrices:
header_matrix = {};
header_matrix{1} = 'id';
for i=1:1:numvariables-4
    header_matrix{i+1}=sprintf('h%i', i);
end
header_matrix{numvariables-2} = 'hbar1';
header_matrix{numvariables-1} = 'hbar2';
header_matrix{numvariables} = 'hbar3';
header_matrix{numvariables+1} = 'hbar4';
header_matrix{numvariables+2} = 'scenario_probability';
header_matrix{numvariables+3} = 'scenario_benchmark';
count = 1; 

%Pack matrices to the array of structures "toolboxstruc_arr":
clear iargstruc_arr;
toolboxstruc_arr(count) = tbpsg_matrix_pack('matrix_scenarios', matrix_scenarios,header_matrix);
count = count+1;
toolboxstruc_arr(count) = tbpsg_matrix_pack('matrix_constraint_budget', matrix_constraint_budget,header_matrix);
count = count+1;

%Generate headers for points:
header_point_bound = {};
for i=1:1:numvariables-4
    header_point_bound{i}=sprintf('h%i', i);
end
header_point_bound{numvariables-3} = 'hbar1';
header_point_bound{numvariables-2} = 'hbar2';
header_point_bound{numvariables-1} = 'hbar3';
header_point_bound{numvariables} = 'hbar4';

%Generate lower bounds point:
point_lowerbound_arr = [];
for i=1:1:numvariables-4
    point_lowerbound_arr(i)=-5000000.0;
end;
point_lowerbound_arr(numvariables-3)=-10000000.0;
point_lowerbound_arr(numvariables-2)=-10000000.0;
point_lowerbound_arr(numvariables-1)=-10000000.0;
point_lowerbound_arr(numvariables)=-10000000.0;

%Pack lower bounds point to the array of structures "toolboxstruc_arr":
toolboxstruc_arr(count) = tbpsg_point_pack('point_lowerbounds', point_lowerbound_arr, header_point_bound);
count = count+1;

%Generate upper bounds point:
point_upperbound_arr = [];
for i=1:1:numvariables-4
    point_upperbound_arr(i)=5000000.0;
end;
point_upperbound_arr(numvariables-3)=10000000.0;
point_upperbound_arr(numvariables-2)=10000000.0;
point_upperbound_arr(numvariables-1)=10000000.0;
point_upperbound_arr(numvariables)=10000000.0;

%Pack upper bounds point to the array of structures "toolboxstruc_arr":
toolboxstruc_arr(count) = tbpsg_point_pack('point_upperbounds', point_upperbound_arr, header_point_bound);
count = count+1;

%Create function list
[functionname_arr] = get_object_list(problem_statement, 'function');
if ~isempty(functionname_arr)
    disp('Used functions:');
    fprintf('%s\n', functionname_arr{1:length(functionname_arr)});
end

%Uncomment the following line to open the problem in Toolbox Window:
%tbpsg_toolbox(problem_statement,toolboxstruc_arr);

%Optimize Problem 1:
clear solution_str; clear outargstruc_arr; clear optimal_point;
[solution_str, outargstruc_arr] = tbpsg_run(problem_statement, toolboxstruc_arr);

%Display times and information about optimal solution of Problem 1
fprintf('%s\n', solution_str');

%Extract optimal solution   
point_variables = tbpsg_optimal_point_vars(solution_str, outargstruc_arr);
point_data = tbpsg_optimal_point_data(solution_str, outargstruc_arr);

%Display optimal point:
for i=1:size(point_variables,2)
   fprintf('%s = %f\n',point_variables{i},point_data(i));
end

disp('  ')
disp('  ')
disp('  ')
disp('  ')


%Define problem 2 statement string:
clear problem_statement;
problem_statement = sprintf('%s\n', ...
'minimize',...
'objective: objective_pen, linearize = 1',...
'  meanabs_pen(matrix_scenarios)',...
'constraint: <= 1000000, linearize = 1',...
'  polynom_abs(matrix_constraint_budget)',...
'constraint: <= 50, linearize = 1',...
'  cardn(0.001, matrix_constraint_budget)',...
'Box: >= point_lowerbounds, <= point_upperbounds',...
'Solver: CAR, precision = 5');

%Display Problem 2 statement:
disp(problem_statement);

%Construct matrices using raw data:
[matrix_scenarios, matrix_constraint_budget]=CS_CDO_Hedging_MAD_Data_Preparation(Pi,BOCds,BOInd,DurCds,DurInd,HistCdsSpread,HistIndSpread);

%Determine total number of columns in the matrix:
loc_arr = size(matrix_constraint_budget);

%Determine number of columns corresponding to decision variables (excluding
% columns "id", "scenario_probability", and "scenario_benchmark":
numvariables = loc_arr(2)-3; 

%Generate headers for matrices:
header_matrix = {};
header_matrix{1} = 'id';
for i=1:1:numvariables-4
    header_matrix{i+1}=sprintf('h%i', i);
end
header_matrix{numvariables-2} = 'hbar1';
header_matrix{numvariables-1} = 'hbar2';
header_matrix{numvariables} = 'hbar3';
header_matrix{numvariables+1} = 'hbar4';
header_matrix{numvariables+2} = 'scenario_probability';
header_matrix{numvariables+3} = 'scenario_benchmark';
count = 1; 

%Pack matrices to the array of structures "toolboxstruc_arr":
clear iargstruc_arr;
toolboxstruc_arr(count) = tbpsg_matrix_pack('matrix_scenarios', matrix_scenarios, header_matrix);
count = count+1;
toolboxstruc_arr(count) = tbpsg_matrix_pack('matrix_constraint_budget', matrix_constraint_budget, header_matrix);
count = count+1;

%Generate headers for points:
header_point_bound = {};
for i=1:1:numvariables-4
    header_point_bound{i}=sprintf('h%i', i);
end
header_point_bound{numvariables-3} = 'hbar1';
header_point_bound{numvariables-2} = 'hbar2';
header_point_bound{numvariables-1} = 'hbar3';
header_point_bound{numvariables} = 'hbar4';

%Generate lower bounds point:
point_lowerbound_arr = [];
for i=1:1:numvariables-4
    point_lowerbound_arr(i)=-5000000.0;
end;
point_lowerbound_arr(numvariables-3)=-10000000.0;
point_lowerbound_arr(numvariables-2)=-10000000.0;
point_lowerbound_arr(numvariables-1)=-10000000.0;
point_lowerbound_arr(numvariables)=-10000000.0;

%Pack lower bounds point to the array of structures "toolboxstruc_arr":
toolboxstruc_arr(count) = tbpsg_point_pack('point_lowerbounds', point_lowerbound_arr, header_point_bound);
count = count+1;

%Generate upper bounds point:
point_upperbound_arr = [];
for i=1:1:numvariables-4
    point_upperbound_arr(i)=5000000.0;
end;
point_upperbound_arr(numvariables-3)=10000000.0;
point_upperbound_arr(numvariables-2)=10000000.0;
point_upperbound_arr(numvariables-1)=10000000.0;
point_upperbound_arr(numvariables)=10000000.0;

%Pack upper bounds point to the array of structures "toolboxstruc_arr":
toolboxstruc_arr(count) = tbpsg_point_pack('point_upperbounds', point_upperbound_arr, header_point_bound);
count = count+1;

%Create function list:
[functionname_arr] = get_object_list(problem_statement, 'function');
if ~isempty(functionname_arr)
    disp('Used functions:');
    fprintf('%s\n', functionname_arr{1:length(functionname_arr)});
end

%Uncomment the following line to open the problem in Toolbox Window:
%tbpsg_toolbox(problem_statement,toolboxstruc_arr);

%Optimize Problem 2:
clear solution_str; clear outargstruc_arr; clear optimal_point;
[solution_str, outargstruc_arr] = tbpsg_run(problem_statement, toolboxstruc_arr);

%Display times and information about optimal solution of Problem 2:
fprintf('%s\n', solution_str');

%Extract optimal solution   
point_variables_2 = tbpsg_optimal_point_vars(solution_str, outargstruc_arr);
point_data_2 = tbpsg_optimal_point_data(solution_str, outargstruc_arr);


%Display optimal point:
for i=1:size(point_variables_2,2)
   fprintf('%s = %f\n',point_variables_2{i},point_data_2(i));
end

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