PSG Run-File Environment implementation, see Formal Problem Statement:

 

Optimization Problem

 

Number of instruments in the portfolio, .

Number of scenarios, .
 

The description of the problem statement for Problem is in file "problem_supply_chain_planning_short.txt":

 

 

Data for Problem are saved in text files:

"matrix_of_scenarios_SCP_75.txt" ;

"matrix_xfirst_SCP.txt",

"pmatrix_subproblem_SCP",

"pmatrix_xmulti_SCP",

"point_xlower_SCP",

"point_xupper_SCP",

"vector_l_SCP",

"vector_u_SCP".

 

Problem was solved by program Run-File:

 

 

The solution report was saved in text file "solution_problem_supply_chain_planning.txt":
 

 

Optimal point was saved in text file "point_problem_supply_chain_planning.txt":
 

 

Value of constraint was saved in text file "vector_constraint_1.txt":

 

 

Value of constraint was saved in text file "vector_constraint_1.txt":