Hello,

I am trying to solve a stochastic programming model (portfolio

optimization) in GAMS using a scenario tree with a total of 820 nodes

over 4 periods of time (starting at time 0 and up to time 3).

My decision variables w are indexed both on the assets and the nodes -

w(i,n) - and I don’t want the model to make any decision on the first

period but only thereafter. I set as equations an initial value of:

start(i,root)… w(i,root) = 1/card(i); meaning that at my starting

point the assets have all the same weight.

The problem is that when I run the gams file I always get an error

message of infeasibility in these equations of (LHS = 0, INFES =

0.2***).

I have checked other parts of the model and there shouldn’t be any

mistake there, I have also tested this same model with the same data

in other programs and I got an optimal solution.

Can anyone please give some info on this?

Thank you very much!

Raquel

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Rachel,

Are you sure the message about the infeasibility is an error message?

Perhaps you are looking at the equation listing that is generated

based on the initial values for the variables. It is not surprising

that you would find some infeasibilities in your initial point, this

is not an error.

If you look at the solve summary, you will see if GAMS has computed a

solution to your model.

-Steve

On Thu, Oct 30, 2008 at 8:57 PM, racheljlondon@googlemail.com

wrote:

Hello,

I am trying to solve a stochastic programming model (portfolio

optimization) in GAMS using a scenario tree with a total of 820 nodes

over 4 periods of time (starting at time 0 and up to time 3).

My decision variables w are indexed both on the assets and the nodes -

w(i,n) - and I don’t want the model to make any decision on the first

period but only thereafter. I set as equations an initial value of:

start(i,root)… w(i,root) = 1/card(i); meaning that at my starting

point the assets have all the same weight.

The problem is that when I run the gams file I always get an error

message of infeasibility in these equations of (LHS = 0, INFES =

0.2***).

I have checked other parts of the model and there shouldn’t be any

mistake there, I have also tested this same model with the same data

in other programs and I got an optimal solution.

Can anyone please give some info on this?

Thank you very much!

Raquel

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– Steven Dirkse, Ph.D. GAMS Development Corp., Washington DC Voice: (202)342-0180 Fax: (202)342-0181 sdirkse@gams.com http://www.gams.com