Constraint Definition¶

Introduction¶

The following tutorial will guide users on setting up, modifying and removing constraints. Please keep in find when a model is initialized, model defined constraints are already loaded into the optimization and only custom constraints need to be added.

Adding Constraints¶

In JuPOT constraints are stored as stand alone dictionaries. This means that constraints can be added, deleted and modified modularly. To begin we can first define Constraint1

constraints = Dict((:constraint1 => :(dot(w,tech) <= tech_thresh)))

The constraint above indicates that the sum of all assets that carry Tech Constraints must be less than or equal to the tech_thresh. However we can see that neither tech or tech_thresh is define yet. Therefore we must assign values to these through Parameters.

parameters = Dict(:tech=>[1,1,0,0,1,0,1,0,0,0],
:tech_thresh => 0.3

We can see that tech is an indicator array showing whether an asset is in the tech sector while tech_thresh has been set to 0.3.

Changing Constraints¶

All constraints are defined as unique dictionaries so in order to modify an existing constraints, one only needs to modify the parameter. Given the constraint above, if we wish to modify the value to tech_thresh we need to only make the following adjustments.

parameters[:tech_thresh] = 0.04

Deleting Constraints¶

In order to delete a constraint, users imply have to delete the constraint name from the dictionary. For good form, users should also remove the associated parameters.

delete!(constraints, :constraint1)
delete!(parameters, :tech_thresh)
delete!(parameters, :tech)

In the example above, we have now delelted constraint1 from the model and removed all parameters associated with constraint1.

Merging Constraints¶

You can merge two sets of constraints together.

constraints_1 = [symbol("x$i") => :(min_thresh <= w[$i]) for i=1:n] # this sets a minimum weight for each asset
constraints_2 = [symbol("y$i") => :( w[$i] <= max_thresh) for i=1:n] # this sets a maximum weight for each asset

constraints = merge(constraints_1,constraints_2) # you just merged two sets of constraints

For more information about how to manipulate the Dictionaries we use for holding the constraints. Refer to Julia’s Documentation or the Julia Wiki .