meanvar.gms:
Reference:
- Dahl, H, Meeraus, A, and Zenios, S A, Some Financial Optimization Models: Risk Management. In Zenios, S A, Ed, Financial Optimization. Cambridge University Press, New York, NY, 1993.
- Original source: GAMS Model of meanvar.gms from GAMS Model Library
Point:
p1
Best known point: p1 with value 5.2434
<![CDATA[
* NLP written by GAMS Convert at 07/30/01 09:54:04
*
* Equation counts
* Total E G L N X
* 3 3 0 0 0 0
*
* Variable counts
* x b i s1s s2s sc si
* Total cont binary integer sos1 sos2 scont sint
* 9 9 0 0 0 0 0 0
* FX 1 1 0 0 0 0 0 0
*
* Nonzero counts
* Total const NL DLL
* 23 16 7 0
*
* Solve m using NLP minimizing objvar;
Variables objvar,x2,x3,x4,x5,x6,x7,x8,x9;
Positive Variables x3,x4,x5,x6,x7,x8,x9;
Equations e1,e2,e3;
e1.. - 0.5*(42.18*x3*x3 + 20.18*x3*x4 + 10.88*x3*x5 + 5.3*x3*x6 + 12.32*x3*x7
+ 23.84*x3*x8 + 17.41*x3*x9 + 20.18*x4*x3 + 70.89*x4*x4 + 21.58*x4*x5 +
15.41*x4*x6 + 23.24*x4*x7 + 23.8*x4*x8 + 12.62*x4*x9 + 10.88*x5*x3 + 21.58
*x5*x4 + 25.51*x5*x5 + 9.6*x5*x6 + 22.63*x5*x7 + 13.22*x5*x8 + 4.7*x5*x9
+ 5.3*x6*x3 + 15.41*x6*x4 + 9.6*x6*x5 + 22.33*x6*x6 + 10.32*x6*x7 + 10.46
*x6*x8 + x6*x9 + 12.32*x7*x3 + 23.24*x7*x4 + 22.63*x7*x5 + 10.32*x7*x6 +
30.01*x7*x7 + 16.36*x7*x8 + 7.2*x7*x9 + 23.84*x8*x3 + 23.8*x8*x4 + 13.22*
x8*x5 + 10.46*x8*x6 + 16.36*x8*x7 + 42.23*x8*x8 + 9.9*x8*x9 + 17.41*x9*x3
+ 12.62*x9*x4 + 4.7*x9*x5 + x9*x6 + 7.2*x9*x7 + 9.9*x9*x8 + 16.42*x9*x9)
+ objvar =E= 0;
e2.. x2 - 0.1287*x3 - 0.1096*x4 - 0.0501*x5 - 0.1524*x6 - 0.0763*x7
- 0.1854*x8 - 0.062*x9 =E= 0;
e3.. x3 + x4 + x5 + x6 + x7 + x8 + x9 =E= 1;
* set non default bounds
x2.fx = 0.115;
x3.up = 1;
x4.up = 1;
x5.up = 1;
x6.up = 1;
x7.up = 1;
x8.up = 1;
x9.up = 1;
* set non default levels
* set non default marginals
Model m / all /;
m.limrow=0; m.limcol=0;
$if NOT '%gams.u1%' == '' $include '%gams.u1%'
Solve m using NLP minimizing objvar;
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