Solver Select Tutorial¶

JuPOT gives you the option to choose between solvers that you want to optimize with.

This tutorial assumes that you have already completed the Getting Started tutorial.

Lets say for example you installed Gurboi and want to utilize it as your solver of choice.

You must now install the Gurobi Julia Interface which can be found here .

This would install the Solver Object required to identify which solver you want to use.

using Gurobi
using JuPOT

This might give you a warning along the lines of:

If it doesn’t occur here, it should occur when we call the optimize() function. This problem is because both JuPOT and Gurobi packages have an optimize function and Julia doesn’t necessarily understand exactly who to use.

This problem is generally countered by adding the name of the package you are using ahead of the function being called like:

JuPOT.optimize(mvo)

Which would identify clearly which optimize function is being called to Julia.

After properly setting up the environment, we now generate a set of data for a sample SimpleMVO example.

# Generate synthetic data sets for Demonstration
############
# Assets
############
n = 10 # No. Of Assets
returns = rand(n)
covarariance = let
    S = randn(n, n)
    S'S + eye(n)
end
names = [randstring(3) for i in 1:n] # List of asset names

# Assets data structure containing, names, expected returns, covarariance
assets = AssetsCollection(names, returns, covarariance)

# Target Return
target_return = 0.2

# Creating the SimpleMVO Object
mvo = SimpleMVO(assets, target_return; short_sale=false)

When you want to use a specific solver, you need to create a Solver Object for that solver.

gurobi_solver = GurobiSolver()

Then you pass the Solver Object you have created called gurobi_solver into the optimize() function.

result = JuPOT.optimize(mvo; solver=gurobi_solver)

Passing of the solver object is done by utilizing a ; between the regular input parameters of the optimize() function and the solver object input.

Congratulations, you can now specify which solver you want to use when you optimize!