chance.gms:
Reference:
- Bracken, J, and McCormick, G P, Chapter 9. In Selected Applications of Nonlinear Programming. John Wiley and Sons, New York, 1968, pp. 94-100.
- Original source: GAMS Model of chance.gms from GAMS Model Library
Point:
p1
Best known point: p1 with value 29.8944
<![CDATA[
* NLP written by GAMS Convert at 07/30/01 10:10:32
*
* Equation counts
* Total E G L N X
* 4 2 2 0 0 0
*
* Variable counts
* x b i s1s s2s sc si
* Total cont binary integer sos1 sos2 scont sint
* 5 5 0 0 0 0 0 0
* FX 0 0 0 0 0 0 0 0
*
* Nonzero counts
* Total const NL DLL
* 17 13 4 0
*
* Solve m using NLP minimizing objvar;
Variables objvar,x2,x3,x4,x5;
Positive Variables x2,x3,x4,x5;
Equations e1,e2,e3,e4;
e1.. objvar - 24.55*x2 - 26.75*x3 - 39*x4 - 40.5*x5 =E= 0;
e2.. x2 + x3 + x4 + x5 =E= 1;
e3.. 12*x2 - 1.645*sqrt(0.28*sqr(x2) + 0.19*sqr(x3) + 20.5*sqr(x4) + 0.62*sqr(
x5)) + 11.9*x3 + 41.8*x4 + 52.1*x5 =G= 21;
e4.. 2.3*x2 + 5.6*x3 + 11.1*x4 + 1.3*x5 =G= 5;
* set non default bounds
* set non default levels
objvar.l = 28.9426476516831;
x2.l = 0.685244910300343;
x3.l = 0.0126990526103601;
x4.l = 0.302056037089293;
* set non default marginals
e1.m = 1;
e2.m = 1;
x5.m = 1;
Model m / all /;
m.limrow=0; m.limcol=0;
$if NOT '%gams.u1%' == '' $include '%gams.u1%'
Solve m using NLP minimizing objvar;
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