\$title Test for LindoGlobal's CheckRange Option (LINDORNG,SEQ=505) \$Ontext This test model is based on the chance model from GAMSLIB. Contributer: Michael Bussieck Date: 11/19/2010 \$Offtext \$eolcom ! sets f feeds / barley, oats, sesame, grnd-meal / n nutrients / protein, fats / nn(n) subset of n; parameters price(f) feed prices (fgld per ton) / barley 24.55 oats 26.75 sesame 39.00 grnd-meal 40.50 / req(n) requirements (pct) / protein = 21, fats = 5 / table char(*,n,f) feed characteristics (pct) barley oats sesame grnd-meal mean.protein 12.0 11.9 41.8 52.1 mean.fats 2.3 5.6 11.1 1.3 variance.protein .28 .19 20.5 .62 variables x(f) feed mix (pct) cost total cost per ton positive variable x; equations cdef cost definition mc mix constraint cc(n) nutrient balance; cdef.. cost =e= sum(f, price(f)*x(f)); mc.. sum(f, x(f)) =e= 1; cc(nn(n)).. sum(f, char("mean",n,f)*x(f)) - 1.645*sqrt(sum(f, char("variance",n,f)*sqr(x(f)))) =g= req(n); models chance chance model / mc, cc, cdef / option nlp=lindoglobal, optcr=0; nn(n) = yes; solve chance minimizing cost using nlp; parameter xsol(f); xsol(f) = x.l(f); * Now evaluate at optimum point the ranges chance.optfile=1; cost.lo=0; ! prevent reformulation \$echo checkrange range.gdx > lindoglobal.opt solve chance minimizing cost using nlp; set hdr / lo, hi /; parameter cdef_cost(hdr) cdef_x (f,hdr) mc_x (f,hdr) cc_x (n,f,hdr); Parameter pickf(f); variable z; equation defz; defz.. z =e= sum(f\$pickf(f), x(f)); model m1 / mc, defz /; model m2 / cc, defz /; model m3 / cdef, defz /; * mc alias (f,ff), (np,n); x.fx(f) = xsol(f); loop(ff, pickf(ff) = 1; x.lo(ff) = 0; x.up(ff)=inf; solve m1 min z using nlp; mc_x(ff,'lo') = z.l; if (mc_x(ff,'lo')<-1e12, mc_x(ff,'lo')=-inf); solve m1 max z using nlp; mc_x(ff,'hi') = z.l; if (mc_x(ff,'hi')> 1e12, mc_x(ff,'hi')= inf); pickf(ff) = 0; x.fx(ff) = xsol(ff)); * cc nn(n) = no; loop((np,ff), nn(np) = yes; pickf(ff) = 1; x.lo(ff) = 0; x.up(ff)=inf; solve m2 min z using nlp; cc_x(np,ff,'lo') = z.l; if (m2.modelstat=18 or cc_x(np,ff,'lo')<-1e12, cc_x(np,ff,'lo')=-inf); solve m2 max z using nlp; cc_x(np,ff,'hi') = z.l; if (m2.modelstat=18 or cc_x(np,ff,'hi')> 1e12, cc_x(np,ff,'hi')= inf); nn(np) = no; pickf(ff) = 0; x.fx(ff) = xsol(ff)); * cdef cost.fx = cost.l; loop(ff, pickf(ff) = 1; x.lo(ff) = 0; x.up(ff)=inf; solve m3 min z using nlp; cdef_x (ff,'lo') = z.l; if (cdef_x (ff,'lo')<-1e12, cdef_x (ff,'lo')=-inf); solve m3 max z using nlp; cdef_x (ff,'hi') = z.l; if (cdef_x (ff,'hi')> 1e12, cdef_x (ff,'hi')= inf); pickf(ff) = 0; x.fx(ff) = xsol(ff)); cost.lo=0; cost.up=inf; solve m3 min cost using nlp; cdef_cost('lo') = cost.l; if (cdef_cost('lo')<-1e12, cdef_cost('lo')=-inf); solve m3 max cost using nlp; cdef_cost('hi') = cost.l; if (cdef_cost('hi')> 1e12, cdef_cost('hi')= inf); execute_unload 'rangeWant.gdx' cdef_cost, cdef_x, mc_x, cc_x; execute 'gdxdiff range.gdx rangeWant.gdx Eps=1e-4 > %system.nullfile%'; abort\$errorlevel 'range.gdx and rangeWant.gdx differ';