I am trying to optimize a function in JuMP, but got the error message:
ERROR: MathOptInterface.UnsupportedConstraint{MathOptInterface.SingleVariable,MathOptInterface.Integer}:MathOptInterface.SingleVariable-in-MathOptInterface.Integerconstraints is not supported by the model.
My code is as below:
using LinearAlgebra, Random, JuMP, Ipopt
model = Model(with_optimizer(Ipopt.Optimizer))
@variable(model, 1 <= Share[1:10], Int)
function OBJ(Share...)
N_Asset = 10
Price = [i*5 for i in 1:N_Asset]
CovMat = [10 -4 -3 1 4 6 2 7 6 8;
-4 9 -4 10 2 8 10 8 3 3;
-3 -4 9 -8 3 2 2 1 10 3;
1 10 -8 4 -1 3 5 9 4 7;
4 2 3 -1 3 -4 1 6 5 1;
6 8 2 3 -4 9 -9 1 6 7;
2 10 2 5 1 -9 6 -2 3 9;
7 8 1 9 6 1 -2 1 6 -10;
6 3 10 4 5 6 3 6 -10 -4;
8 3 3 7 1 7 9 10 -4 7]
return dot(collect(Share), Price) - collect(Share)' * CovMat * collect(Share) * 0.001
end
register(model, :OBJ, 10, OBJ; autodiff=true)
@NLobjective(model, Max, OBJ(Share...))
function CONS(Share...)
#Share = [i for i in 1:10]
N_Asset = 10
Price = [i*5 for i in 1:N_Asset]
return dot(collect(Share), Price)
end
register(model, :CONS, 10, CONS, autodiff=true)
@constraint(model, con, CONS(Share...) <= 10000)
optimize!(model)
objective_value(model)
version:
Julia Version 1.0.3
Commit 099e826241 (2018-12-18 01:34 UTC)
Platform Info:
OS: Linux (x86_64-redhat-linux)
CPU: Intel(R) Core(TM) i7-5500U CPU @ 2.40GHz
WORD_SIZE: 64
LIBM: libopenlibm
LLVM: libLLVM-6.0.0 (ORCJIT, broadwell)
Environment:
JULIA_EDITOR = "/usr/share/code/code"