10/31/21, 11:01 PM HW4_Question7 - Jupyter Notebook

Table of Contents
 1  Problem 7 (b)
1.1  Maximising Price
1.2  Minimizing portfolio cost
 2  Problem 7 (c)
2.1  Minimising Price
2.2  Maximizing portfolio cost

 1  Problem 7 (b)

 1.1  Maximising Price

In [1]: import numpy as np

import gurobipy as grb
import matplotlib.pyplot as plt
import pandas as pd
executed in 312ms, finished 23:00:04 2021-10-31

In [2]: ▾ ## Question 7 (b)

​
nx = 1
nq = 3
​
​
# Gurobi Model
#
m = grb.Model("q7")
​
P = m.addVar(lb=0.0, name="P")
m.update()
​
q = {}
▾ for j in range(1,nq+1):
q[j] = m.addVar(lb=0.0001, name="q["+str(j)+"]")
m.update()
m
executed in 9ms, finished 23:00:04 2021-10-31

Academic license - for non-commercial use only - expires 2022-08-30

Using license file /Users/suvrasoumya.mohanty/gurobi.lic

Out[2]: <gurobi.Model Continuous instance q7: 0 constrs, 4 vars, No parameter cha

nges>

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In [3]: ▾ # Add objective

m.setObjective(P, grb.GRB.MAXIMIZE)
m.update()
​
# add constraints
m.addConstr(10/9*q[1] + 10/9*q[2] + 10/9*q[3] == 1, name = "const1")
m.addConstr(20/3*q[1] + 49/9*q[2] + 10/3*q[3] == 5, name = "const2")
m.addConstr(3.5*q[1] + 5*q[2] + 2*q[3] == P, name = "const3")
​
m.update()
​
m.optimize()
​
▾ for v in m.getVars():
print("%s=%f"%(v.varName, v.x))

print('Obj:', m.objVal)
executed in 14ms, finished 23:00:04 2021-10-31

Gurobi Optimizer version 9.1.2 build v9.1.2rc0 (mac64)

Thread count: 8 physical cores, 8 logical processors, using up to 8 threa
ds

Optimize a model with 3 rows, 4 columns and 10 nonzeros

Model fingerprint: 0xef0ffdab

Coefficient statistics:

Matrix range [1e+00, 7e+00]

Objective range [1e+00, 1e+00]

Bounds range [1e-04, 1e-04]

RHS range [1e+00, 5e+00]

Presolve removed 1 rows and 1 columns

Presolve time: 0.00s

Presolved: 2 rows, 3 columns, 6 nonzeros

Iteration Objective Primal Inf. Dual Inf. Time

0 4.4995500e+00 1.251111e-02 0.000000e+00 0s

1 4.3767136e+00 0.000000e+00 0.000000e+00 0s

Solved in 1 iterations and 0.01 seconds

Optimal objective 4.376713636e+00

P=4.376714

q[1]=0.081991

q[2]=0.817909

q[3]=0.000100

Obj: 4.376713636363637

 1.2  Minimizing portfolio cost

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In [4]: nx = 2
​
# Gurobi Model
#
m = grb.Model("q7b")
​
x = {}
▾ for j in range(1,nx+1):
x[j] = m.addVar(vtype = grb.GRB.CONTINUOUS,lb=-grb.GRB.INFINITY , name
m.update()
m
executed in 4ms, finished 23:00:04 2021-10-31

Out[4]: <gurobi.Model Continuous instance q7b: 0 constrs, 2 vars, No parameter ch

anges>

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In [5]: ▾ # Add objective

m.setObjective(1*x[1]+5*x[2], grb.GRB.MINIMIZE)
m.update()
​
# add constraints
m.addConstr(10/9*x[1] + 20/3*x[2] >= 3.5, name = "const1")
m.addConstr(10/9*x[1] + 49/9*x[2] >= 5, name = "const2")
m.addConstr(10/9*x[1] + 10/3*x[2] >=2, name = "const3")
​
m.update()
m.optimize()
​
​
▾ for v in m.getVars():
print("%s=%f"%(v.varName, v.x))

print('Obj:', m.objVal)
executed in 9ms, finished 23:00:04 2021-10-31

Gurobi Optimizer version 9.1.2 build v9.1.2rc0 (mac64)

Thread count: 8 physical cores, 8 logical processors, using up to 8 threa
ds

Optimize a model with 3 rows, 2 columns and 6 nonzeros

Model fingerprint: 0x16807eed

Coefficient statistics:

Matrix range [1e+00, 7e+00]

Objective range [1e+00, 5e+00]

Bounds range [0e+00, 0e+00]

RHS range [2e+00, 5e+00]

Presolve removed 3 rows and 2 columns

Presolve time: 0.00s

Presolve: All rows and columns removed

Iteration Objective Primal Inf. Dual Inf. Time

0 4.3772727e+00 0.000000e+00 0.000000e+00 0s

Solved in 0 iterations and 0.00 seconds

Optimal objective 4.377272727e+00

x[1]=10.513636

x[2]=-1.227273

Obj: 4.377272727272728

 2  Problem 7 (c)

 2.1  Minimising Price

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10/31/21, 11:01 PM HW4_Question7 - Jupyter Notebook

In [6]: ▾ ## Question 7 (c)

​
nx = 1
nq = 3
​
​
# Gurobi Model
#
m = grb.Model("q7c")
​
P = m.addVar(lb=0.0, name="P")
m.update()
​
q = {}
▾ for j in range(1,nq+1):
q[j] = m.addVar(lb=0.000001, name="q["+str(j)+"]")
m.update()
​
executed in 2ms, finished 23:00:04 2021-10-31

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In [7]: ▾ # Add objective

m.setObjective(P, grb.GRB.MINIMIZE)
m.update()
​
# add constraints
m.addConstr(10/9*q[1] + 10/9*q[2] + 10/9*q[3] == 1, name = "const1")
m.addConstr(20/3*q[1] + 49/9*q[2] + 10/3*q[3] == 5, name = "const2")
m.addConstr(3.5*q[1] + 5*q[2] + 2*q[3] == P, name = "const3")
​
m.update()
m.optimize()
​
▾ for v in m.getVars():
print("%s=%f"%(v.varName, v.x))

print('Obj:', m.objVal)
executed in 9ms, finished 23:00:04 2021-10-31

Gurobi Optimizer version 9.1.2 build v9.1.2rc0 (mac64)

Thread count: 8 physical cores, 8 logical processors, using up to 8 threa
ds

Optimize a model with 3 rows, 4 columns and 10 nonzeros

Model fingerprint: 0xa27891b7

Coefficient statistics:

Matrix range [1e+00, 7e+00]

Objective range [1e+00, 1e+00]

Bounds range [1e-06, 1e-06]

RHS range [1e+00, 5e+00]

Presolve removed 1 rows and 1 columns

Presolve time: 0.00s

Presolved: 2 rows, 3 columns, 6 nonzeros

Iteration Objective Primal Inf. Dual Inf. Time

0 1.8000045e+00 2.499993e-01 0.000000e+00 0s

1 2.7000020e+00 0.000000e+00 0.000000e+00 0s

Solved in 1 iterations and 0.00 seconds

Optimal objective 2.700002050e+00

P=2.700002

q[1]=0.599999

q[2]=0.000001

q[3]=0.300000

Obj: 2.7000020499999997

 2.2  Maximizing portfolio cost

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In [8]: ​
nx = 2
​
​
# Gurobi Model
#
m = grb.Model("q7c2")
​
x = {}
▾ for j in range(1,nx+1):
x[j] = m.addVar(vtype = grb.GRB.CONTINUOUS,lb=-grb.GRB.INFINITY ,name=
m.update()
​
# Add objective
m.setObjective(1*x[1]+5*x[2], grb.GRB.MAXIMIZE)
m.update()
​
# add constraints
m.addConstr(10/9*x[1] + 20/3*x[2] <= 3.5, name = "const1")
m.addConstr(10/9*x[1] + 49/9*x[2] <= 5, name = "const2")
m.addConstr(10/9*x[1] + 10/3*x[2] <=2, name = "const3")
​
m.update()
​
executed in 4ms, finished 23:00:04 2021-10-31

In [9]: m.optimize()
​
▾ for v in m.getVars():
print("%s=%f"%(v.varName, v.x))

print('Obj:', m.objVal)
executed in 6ms, finished 23:00:04 2021-10-31

Gurobi Optimizer version 9.1.2 build v9.1.2rc0 (mac64)

Thread count: 8 physical cores, 8 logical processors, using up to 8 threa
ds

Optimize a model with 3 rows, 2 columns and 6 nonzeros

Model fingerprint: 0xd6598379

Coefficient statistics:

Matrix range [1e+00, 7e+00]

Objective range [1e+00, 5e+00]

Bounds range [0e+00, 0e+00]

RHS range [2e+00, 5e+00]

Presolve removed 3 rows and 2 columns

Presolve time: 0.00s

Presolve: All rows and columns removed

Iteration Objective Primal Inf. Dual Inf. Time

0 2.7000000e+00 0.000000e+00 0.000000e+00 0s

Solved in 0 iterations and 0.00 seconds

Optimal objective 2.700000000e+00

x[1]=0.450000

x[2]=0.450000

Obj: 2.7

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In [ ]: ​

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