%This Example for using users m-function Optimization_subroutine.m was created automatically by PSG Toolbox.

%Function description:

%maximize
%linear(matrix_returns)
%Constraint: <= parameter_bound
%cvar_dev(parameter_alpha, matrix_bank_book_scenarios)
%Constraint: == parameter_bound_1
%linear(matrix_credit_risk_capital_weghts)
%-variable(x1a)
%-variable(x2a)
%Constraint: <= parameter_bound_2
%linear(matrix_specific_market_risk_weights)
%+variable(x1a)
%+variable(x2a)
%-variable(x3a)
%+3*var_dev(parameter_alpha_1, matrix_trading_book_scenarios)
%Constraint: <= parameter_bound_3
%2.5*variable(x1a)
%-variable(x2a)
%+variable(x3a)
%Constraint: <= parameter_bound_4
%variable(x2a)
%-variable(x1a)
%Box: >= point_lowerbounds, <= point_upperbounds
%Solver: stages = 30
%
%Input variables:
%
%Inputs                                      PSG Type    PSG Object                             Location in Problem Statement                                   Class
%matrix_returns_data                         data        matrix_returns                         linear(matrix_returns)                                          double
%matrix_returns_vars                         vars        matrix_returns                         linear(matrix_returns)                                          cell
%matrix_bank_book_scenarios_data             data        matrix_bank_book_scenarios             cvar_dev(parameter_alpha, matrix_bank_book_scenarios)           double
%matrix_bank_book_scenarios_vars             vars        matrix_bank_book_scenarios             cvar_dev(parameter_alpha, matrix_bank_book_scenarios)           cell
%matrix_credit_risk_capital_weghts_data      data        matrix_credit_risk_capital_weghts      linear(matrix_credit_risk_capital_weghts)                       double
%matrix_credit_risk_capital_weghts_vars      vars        matrix_credit_risk_capital_weghts      linear(matrix_credit_risk_capital_weghts)                       cell
%matrix_specific_market_risk_weights_data    data        matrix_specific_market_risk_weights    linear(matrix_specific_market_risk_weights)                     double
%matrix_specific_market_risk_weights_vars    vars        matrix_specific_market_risk_weights    linear(matrix_specific_market_risk_weights)                     cell
%matrix_trading_book_scenarios_data          data        matrix_trading_book_scenarios          +3*var_dev(parameter_alpha_1, matrix_trading_book_scenarios)    double
%matrix_trading_book_scenarios_vars          vars        matrix_trading_book_scenarios          +3*var_dev(parameter_alpha_1, matrix_trading_book_scenarios)    cell
%point_lowerbounds_data                      data        point_lowerbounds                      Box: >= point_lowerbounds, <= point_upperbounds                 double
%point_lowerbounds_vars                      vars        point_lowerbounds                      Box: >= point_lowerbounds, <= point_upperbounds                 cell
%point_upperbounds_data                      data        point_upperbounds                      Box: >= point_lowerbounds, <= point_upperbounds                 double
%point_upperbounds_vars                      vars        point_upperbounds                      Box: >= point_lowerbounds, <= point_upperbounds                 cell
%parameter_bound_data                        data        parameter_bound                        Constraint: <= parameter_bound                                  double
%parameter_alpha_data                        data        parameter_alpha                        cvar_dev(parameter_alpha, matrix_bank_book_scenarios)           double
%parameter_bound_1_data                      data        parameter_bound_1                      Constraint: == parameter_bound_1                                double
%parameter_bound_2_data                      data        parameter_bound_2                      Constraint: <= parameter_bound_2                                double
%parameter_alpha_1_data                      data        parameter_alpha_1                      +3*var_dev(parameter_alpha_1, matrix_trading_book_scenarios)    double
%parameter_bound_3_data                      data        parameter_bound_3                      Constraint: <= parameter_bound_3                                double
%parameter_bound_4_data                      data        parameter_bound_4                      Constraint: <= parameter_bound_4                                double
%
%Output variables:
%
%solution_str = string with solution of problem;
%outargstruc_arr = array of output PSG data structures;


%Load data from mat-file:
load('D:\American Optimal Decisions\PSG\MATLAB_Stan\ready\Portfolio Management with Basel Accord\data_problem_basel_accord_c_econ_65__short\Optimization_subroutine_data.mat')

%Save variables from mat-file to Workspace:
tbpsg_export_to_workspace(toolboxstruc_arr)

%Run users m-function Optimization_subroutine:

[solution_str,outargstruc_arr] = Optimization_subroutine(matrix_returns_data,matrix_returns_vars,matrix_bank_book_scenarios_data,matrix_bank_book_scenarios_vars,matrix_credit_risk_capital_weghts_data,matrix_credit_risk_capital_weghts_vars,matrix_specific_market_risk_weights_data,matrix_specific_market_risk_weights_vars,matrix_trading_book_scenarios_data,matrix_trading_book_scenarios_vars,point_lowerbounds_data,point_lowerbounds_vars,point_upperbounds_data,point_upperbounds_vars,parameter_bound_data,parameter_alpha_data,parameter_bound_1_data,parameter_bound_2_data,parameter_alpha_1_data,parameter_bound_3_data,parameter_bound_4_data);

%Extract Objective:
val_obj = tbpsg_objective(solution_str, outargstruc_arr);

disp(' ');
disp('Objective = ');
disp(val_obj);

%Extract optimal solution:
point_data = tbpsg_optimal_point_data(solution_str, outargstruc_arr);

disp(' ');
disp('Optimal point = ');
disp(point_data);

%Extract structure containing PSG solution reports:
output_structure = tbpsg_solution_struct(solution_str, outargstruc_arr);

disp(' ');
disp('Structure with PSG solution = ');
disp(output_structure);

%Uncomment the following lines to extract solutions details:

%output = tbpsg_isoptimal(solution_str, outargstruc_arr);

%output = tbpsg_function_data(solution_str, outargstruc_arr);

%output = tbpsg_function_names(solution_str, outargstruc_arr);

%output = tbpsg_time(solution_str, outargstruc_arr);

%output = tbpsg_optimal_point_vars(solution_str, outargstruc_arr);

%output = tbpsg_constraints_vars(solution_str, outargstruc_arr);

%output = tbpsg_slack_data(solution_str, outargstruc_arr);

%output = tbpsg_dual_data(solution_str, outargstruc_arr);

%output = tbpsg_vector_constraint_data(solution_str, outargstruc_arr);

%output = tbpsg_vector_dual_data(solution_str, outargstruc_arr);

%output = tbpsg_vector_slack_data(solution_str, outargstruc_arr);

%output = tbpsg_matrix_data(solution_str, outargstruc_arr);

%output = tbpsg_matrix_vars(solution_str, outargstruc_arr);

%output = tbpsg_vector_data(solution_str, outargstruc_arr);