The MOSEK Python optimizer API manual Version 7.0 (Revision 141)

8.1. PORTFOLIO OPTIMIZATION 103
15
16 def streamprinter(text):
17 print("%s" % text),
18
19 if name == ’ main ’:
20
21 n = 3
22 gamma = 0.05
23 mu = [0.1073, 0.0737, 0.0627]
24 GT = [[0.1667, 0.0232, 0.0013],
25 [0.0000, 0.1033, -0.0022],
26 [0.0000, 0.0000, 0.0338]]
27 x0 = [0.0, 0.0, 0.0]
28 w = 1.0
29
30 inf = 0.0 # This value has no significance
31
32 with mosek.Env() as env:
33 with env.Task(0,0) as task:
34 task.set Stream(mosek.streamtype.log,streamprinter)
35
36 rtemp = w
37 for j in range(0,n):
38 rtemp += x0[j]
39
40 # Constraints.
41 task.appendcons(1+n)
42 task.putconbound(0,mosek.boundkey.fx,rtemp,rtemp)
43 task.putconname(0,"budget")
44
45 task.putconboundlist(range(1+0,1+n),n*[mosek.boundkey.fx],n*[0.0],n*[0.0])
46 for j in range(1,1+n) :
47 task.putconname(j,"GT[%d]" % j)
48
49 # Variables.
50 task.appendvars(1+2*n)
51
52 # Offset of variables into the API variable.
53 offsetx = 0
54 offsets = n
55 offsett = n+1
56
57 # x variables.
58 task.putclist(range(offsetx+0,offsetx+n),mu)
59 task.putaijlist(n*[0],range(offsetx+0,offsetx+n),n*[1.0])
60 for j in range(0,n):
61 task.putaijlist(n*[1+j],range(offsetx+0,offsetx+n),GT[j])
62
63 task.putvarboundlist(range(offsetx+0,offsetx+n),n*[mosek.boundkey.lo],n*[0.0],n*[inf])
64 for j in range(0,n):
65 task.putvarname(offsetx+j,"x[%d]" % (1+j))
66
67 # s variable.
68 task.putvarbound(offsets+0,mosek.boundkey.fx,gamma,gamma)
69 task.putvarname(offsets+0,"s")
70
71 # t variables.
72 task.putaijlist(range(1,n+1),range(offsett+0,offsett+n),n*[-1.0])