Dear Sir
Please, I am working on a goal programming model for optimal index tracking portfolio selection problem with GAMS.
the model stops and says ( Integer infeasible)
any help in this context
attached the gms file and data files
Many thanks in advance
Need for help
Need for help
 Attachments

 Indexreturn.txt
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 stocksreturn.txt
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 Trial Best 10102023  Copy (2).gms
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Re: Need for help
It seems that your model is unbounded. You might want to set proper lower bounds on variables d1,d2,d3,d4.
I hope this helps.
Fred
I hope this helps.
Fred
Re: Need for help
Many thanks for your interest and reply
Actually these are positve and negative deviations that need to be minimized, hence an upper bound is needed. However i tried to add an upper bound with 0.03 but the problem is still exists.
Thanks for your time and support
Re: Need for help
Hi,
Then I do not understand the model.
Look for example at free variable d1. It occurs with coefficient 1 in the objective which is minimized. Other than that it occurs only in constraint "Tracking", also with coefficient 1. This is a "=L=" constraint. So the solver will make d1 "as negative as possible". In the current model that means inf wich means the model is unbounded.
I hope this helps!
Fred
Then I do not understand the model.
Look for example at free variable d1. It occurs with coefficient 1 in the objective which is minimized. Other than that it occurs only in constraint "Tracking", also with coefficient 1. This is a "=L=" constraint. So the solver will make d1 "as negative as possible". In the current model that means inf wich means the model is unbounded.
I hope this helps!
Fred