Tutorial code snippet cannot be run by itself? #60
Description
So I cannot run this:
# Minimal example:
from amplpy import AMPL
import pandas as pd
ampl = AMPL()
ampl.eval(r"""
set A ordered;
param S{A, A};
param lb default 0;
param ub default 1;
var w{A} >= lb <= ub;
minimize portfolio_variance:
sum {i in A, j in A} w[i] * S[i, j] * w[j];
s.t. portfolio_weights:
sum {i in A} w[i] = 1;
""")
tickers, cov_matrix = # ... pre-process data in Python
ampl.set["A"] = tickers
ampl.param["S"] = pd.DataFrame(cov_matrix, index=tickers, columns=tickers)
ampl.solve(solver="gurobi", gurobi_options="outlev=1")
assert ampl.solve_result == "solved"
sigma = ampl.get_value("sqrt(sum {i in A, j in A} w[i] * S[i, j] * w[j])")
print(f"Volatility: {sigma*100:.1f}%")
# ... post-process solution in Python
as I get an error on tickers, cov_matrix not being defined variables?
Only when I instantiate the variables, something like this:
# Additional loc(s) to make the above Minimal Example a 'Working' one:
# Pre-process data in Python
tickers = ['AAPL', 'GOOGL', 'MSFT'] # Example tickers
cov_matrix = [
[0.1, 0.01, 0.02],
[0.01, 0.2, 0.03],
[0.02, 0.03, 0.15]
] # Example covariance matrix
can I get it to actually run.
Surely my additional loc(s) shouldn't be necessary, and that the amplpy tutorial code snippet is supposed to work by itself? (Sorry I'm certain this must be a pretty trivial question.)