rm(list = setdiff(ls(), lsf.str()))
load(paste(dirname(sys.frame(1)$ofile),"/problem_MaxRet_Prob_data.RData",sep = ""))

problem.list<- list()

problem.list$matrix_returns <- matrix_returns
problem.list$matrix_scenarios <- matrix_scenarios
problem.list$matrix_budget <- matrix_budget
problem.list$point_lowerbounds <- point_lowerbounds
problem.list$point_upperbounds <- point_upperbounds

problem.list$problem_statement <- sprintf("maximize
                                             linear(matrix_returns)
                                           Constraint: <= 0.05
                                             pr_pen(0.02, matrix_scenarios)
                                           Constraint: == 1
                                             linear(matrix_budget)
                                           Box: >= point_lowerbounds, <= point_upperbounds
                                           Solver: precision = 9, stages = 10")

results.full <- rpsg_solver(problem.list)

results <- rpsg_getsolution(results.full)

print(results)