Need for help

Problems with modeling
Post Reply
Mohammed
User
User
Posts: 2
Joined: 1 year ago

Need for help

Post by Mohammed »

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
Attachments
Indexreturn.txt
(262 Bytes) Downloaded 174 times
stocksreturn.txt
(6.67 KiB) Downloaded 157 times
Trial Best 10-10-2023 - Copy (2).gms
(1.33 KiB) Downloaded 163 times
Fred
Posts: 373
Joined: 7 years ago

Re: Need for help

Post by Fred »

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
Mohammed
User
User
Posts: 2
Joined: 1 year ago

Re: Need for help

Post by Mohammed »

Fred wrote: 2 months ago 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
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
Fred
Posts: 373
Joined: 7 years ago

Re: Need for help

Post by Fred »

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
Post Reply