Initial value on variables
Initial value on variables
Hello,
I am trying to solve a stochastic programming model (portfolio
optimization) in GAMS using a scenario tree with a total of 820 nodes
over 4 periods of time (starting at time 0 and up to time 3).
My decision variables w are indexed both on the assets and the nodes -
w(i,n) - and I don't want the model to make any decision on the first
period but only thereafter. I set as equations an initial value of:
start(i,root).. w(i,root) = 1/card(i); meaning that at my starting
point the assets have all the same weight.
The problem is that when I run the gams file I always get an error
message of infeasibility in these equations of (LHS = 0, INFES =
0.2***).
I have checked other parts of the model and there shouldn't be any
mistake there, I have also tested this same model with the same data
in other programs and I got an optimal solution.
Can anyone please give some info on this?
Thank you very much!
Raquel
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Re: Initial value on variables
Rachel,
Are you sure the message about the infeasibility is an error message?
Perhaps you are looking at the equation listing that is generated
based on the initial values for the variables. It is not surprising
that you would find some infeasibilities in your initial point, this
is not an error.
If you look at the solve summary, you will see if GAMS has computed a
solution to your model.
-Steve
On Thu, Oct 30, 2008 at 8:57 PM, racheljlondon@googlemail.com
wrote:
> >
> > Hello,
> >
> > I am trying to solve a stochastic programming model (portfolio
> > optimization) in GAMS using a scenario tree with a total of 820 nodes
> > over 4 periods of time (starting at time 0 and up to time 3).
> >
> > My decision variables w are indexed both on the assets and the nodes -
> > w(i,n) - and I don't want the model to make any decision on the first
> > period but only thereafter. I set as equations an initial value of:
> >
> > start(i,root).. w(i,root) = 1/card(i); meaning that at my starting
> > point the assets have all the same weight.
> >
> > The problem is that when I run the gams file I always get an error
> > message of infeasibility in these equations of (LHS = 0, INFES =
> > 0.2***).
> >
> > I have checked other parts of the model and there shouldn't be any
> > mistake there, I have also tested this same model with the same data
> > in other programs and I got an optimal solution.
> >
> > Can anyone please give some info on this?
> >
> > Thank you very much!
> >
> > Raquel
> >
> > --~--~---------~--~----~------------~-------~--~----~
> > To post to this group, send email to gamsworld@googlegroups.com
> > To unsubscribe from this group, send email to gamsworld+unsubscribe@googlegroups.com
> > For more options, visit this group at http://groups.google.com/group/gamsworld?hl=en
> > -~----------~----~----~----~------~----~------~--~---
> >
> >
-- Steven Dirkse, Ph.D. GAMS Development Corp., Washington DC Voice: (202)342-0180 Fax: (202)342-0181 sdirkse@gams.com http://www.gams.com
Are you sure the message about the infeasibility is an error message?
Perhaps you are looking at the equation listing that is generated
based on the initial values for the variables. It is not surprising
that you would find some infeasibilities in your initial point, this
is not an error.
If you look at the solve summary, you will see if GAMS has computed a
solution to your model.
-Steve
On Thu, Oct 30, 2008 at 8:57 PM, racheljlondon@googlemail.com
wrote:
> >
> > Hello,
> >
> > I am trying to solve a stochastic programming model (portfolio
> > optimization) in GAMS using a scenario tree with a total of 820 nodes
> > over 4 periods of time (starting at time 0 and up to time 3).
> >
> > My decision variables w are indexed both on the assets and the nodes -
> > w(i,n) - and I don't want the model to make any decision on the first
> > period but only thereafter. I set as equations an initial value of:
> >
> > start(i,root).. w(i,root) = 1/card(i); meaning that at my starting
> > point the assets have all the same weight.
> >
> > The problem is that when I run the gams file I always get an error
> > message of infeasibility in these equations of (LHS = 0, INFES =
> > 0.2***).
> >
> > I have checked other parts of the model and there shouldn't be any
> > mistake there, I have also tested this same model with the same data
> > in other programs and I got an optimal solution.
> >
> > Can anyone please give some info on this?
> >
> > Thank you very much!
> >
> > Raquel
> >
> > --~--~---------~--~----~------------~-------~--~----~
> > To post to this group, send email to gamsworld@googlegroups.com
> > To unsubscribe from this group, send email to gamsworld+unsubscribe@googlegroups.com
> > For more options, visit this group at http://groups.google.com/group/gamsworld?hl=en
> > -~----------~----~----~----~------~----~------~--~---
> >
> >
-- Steven Dirkse, Ph.D. GAMS Development Corp., Washington DC Voice: (202)342-0180 Fax: (202)342-0181 sdirkse@gams.com http://www.gams.com