PSGExpress (version 3.1.3)

rpsg_verify: Verify PSG Problem

Description

To use PSG solvers it is necessary to prepare problem in General (Text) format. There are three main objects of PSG:

• Problem Statement. It is a character with description of optimization problem. This object must be created according to the rules of PSG General format. Problem statement for optimization problems with one constraint:

  (minimize|maximize) [<coef1>*]<PSG function obj 1> ......... [<coefK>*]<PSG function obj K> Constraint:(<=|>=|==) <bound> [<coef1>*]<PSG function constr 1> ......... [<coefK>*]<PSG function constr K> Box: (<=|>=|==) <bound>

• PSG Data Objects. Data for optimization problem in a specific format: PSG Matrix, PSG PMatrix, PSG Point, and PSG Vector.

• PSG Solution. The results of optimization problem are stored in solution report (character) and PSG Data Objects (PSG Matrix, PSG Point, ect).

Usage

rpsg_verify(problem_list, rho = parent.frame(), allowExt = TRUE,
  rpsg_suppress.Messages = FALSE)

Arguments

problem_list

list with data for optimization problem. List members:

problem_list$problem_statement

character with PSG Problem Statement;

problem_list$matrix_<name>

matrix with names of columns that correspond to names of optimization variables. Name of this list member (matrix_<name>) must correspond to the name of PSG Matrix in Problem Statement. Matrix may include two optional collumns: scenario_benchmark and scenario_probability;

problem_list$pmatrix_<name>

sparse matrix with names of columns that correspond to names of optimization variables. Name of this list member (pmatrix_<name>) must correspond to the name of PSG PMatrix in Problem Statement. PMatrix may include two optional collumns: scenario_benchmark and scenario_probability;

problem_list$point_<name>

vector with names of members that correspond to names of optimization variables. Name of this list member (point_<name>) must correspond to the name of PSG Point in Problem Statement;

problem_list$vector_<name>

vector with data. Name of this list member (vector_<name>) must correspond to the name of PSG Vector in Problem Statement.

rho

optional parameter for setting frame. Default is rho = parent.frame().

allowExt

optional parameter to specify if a solver can use variables from data frame defined in rho (by the default allowExt = TRUE) or not (allowExt = FALSE).

rpsg_suppress.Messages

optional parameter specifying if messages, that may appear when you run this function, should be suppressed (rpsg_suppress.Messages = TRUE) or not (by the default: rpsg_suppress.Messages = FALSE).

Value

logical variable = problem is correct or not.

References

American Optimal Decisions Portfolio Safeguard Help

See Also

rpsg_solver

Examples

# NOT RUN {
#Problem of CVaR minimization with constraint on the mean profit:
#Find x = (x1,x2,x3,x4) minimizing
#risk(x) = CVaR(0.95,x)
#subject to
#Average Gain(x)>4.5
#x1+x2+x3+x4 = 1
#x1>=0, x2>=0, x3>=0, x4>=0

matrix_scenarios <- matrix(c(1,4,8,3, 7,5,4,6, 2,8,1,0,0,3,4,9),nrow=4, byrow=TRUE)
colnames(matrix_scenarios) <- colnames(matrix_scenarios,do.NULL = FALSE, prefix = "x")
scenario_benchmark <- c(0.2, 0.11, 0.6, 0.1)
matrix_scenarios <- cbind(matrix_scenarios,scenario_benchmark)
matrix_budget <- matrix(c(1, 1, 1, 1),nrow=1)
colnames(matrix_budget) <- colnames(matrix_budget,do.NULL = FALSE, prefix = "x")
point_lowerbounds <- c(0, 0, 0, 0)
names(point_lowerbounds) <- rownames(point_lowerbounds,do.NULL = FALSE, prefix = "x")

problem_list <- list()

#Problem Statement
problem_list$problem_statement <- sprintf(
 "minimize
 cvar_risk(0.95,matrix_scenarios)
Constraint: >= 4.5
 avg_g(matrix_scenarios)
Constraint: == 1
 linear(matrix_budget)
Box: >= point_lowerbounds")

# PSG Matrix:
problem_list$matrix_scenarios <- matrix_scenarios

# PSG Matrix:
problem_list$matrix_budget <- matrix_budget

# PSG Point:
problem_list$point_lowerbounds <- point_lowerbounds

# Solve optimization problem
output <- rpsg_verify(problem_list)

# }