Problem Description for C++ Environment

Contents

The problem described in the previous subsection Example Problem for C++ Environment is represented in General (Text) Format of PSG as follows:

problem: problem_cvar, type = minimize

objective: objective_cvar

cvar_risk(0.95, matrix_scenarios)

constraint: constraint_budget, lower_bound = 1, upper_bound = 1

linear(matrix_budget)

constraint: constraint_return, lower_bound = 4.5

avg_g(matrix_scenarios)

box_of_variables: lowerbounds = point_lowerbounds

solver: VAN, precision = 7

This description is in the text file and it includes the following elements:

1.	Problem name "problem_cvar" and type "minimize". The problem name should coincide with the file name containing the problem description or may be omitted (Brief Description of Optimization Problem).

2.	Objective:

•	Objective name "objective_cvar".

•	Function name "cvar_risk" in Objective (see PSG Function cvar_risk).

•	Matrix name "matrix_scenarios" for "cvar_risk" function.

3.	Constraints:

•	Constraint name "constraint_budget" for the first constraint.

•	Lower and upper bounds ("lower_bound = 1, upper_bound = 1") for first constraint.

•	Function name "linear" in Constraint.

•	Matrix name "matrix_budget" in "linear" function .

•	Constraint name "constraint_return" for the second constraint.

•	Upper bound "lower_bound = 4.5" for second constraint.

•	Function name "avg_g" in second constraint (see PSG Function avg_g).

•	Matrix name "matrix_scenarios" in "avg_g" function.

4.	Bounds on variables:

•	Name of point "point_lowerbounds" containing lower bounds on variables (optional parameter).

5.	Solver parameters:

•	Solver "VAN". PSG has four solvers, VAN, CAR, BULDOZER, and TANK.

•	Solver precision "precision =7". Solver tries to obtain 7 correct digits in objective and constraints.

Remarks

•	The names of matrices and points define the names of text files containing relevant data.

•	Data files for this example are in the folder .\Aorda\PSG\Examples\Problems\Problem_CVaR\

•	The data files with matrices and the file containing the problem description should be in the same folder.