Pyomo 约束和使用 pandas

Question

I am using Pyomo to optimize a cashflow matching problem using bonds. I also want to have a detailed constraint that does looks at the cashflows I am expecting to get from my portfolio versus fixed requirements and conduct a number of calculations on the differences:

1. Calculate difference (wanted minus expected to receive or "in - out" in the picture)
2. Calculate the accumulation of these differences to the last end point using accumulation factors (multiply difference with accumulation factors - which are stored as a model.AccumFactors)
3. Sum these year-on-year accumulation factors (cumsum(axis=1))
4. Find the minimum

[Excel description of process][1]

Now Panda commands don't work in this situation. Is there anything I can do to fix this? Alternative approaches?

Answer 1

Thanks gmavrom.

Trying to think a different formulation. The code below has Multipliers as the model variable and everything else as parameters. Unfortunately the below doesn't work and just prints out strings of:

54993.219033692505*Multipliers[Bond1] + 63662.18895851663*Multipliers[Bond2] + 64451.10079031628*Multipliers[Bond3] + … etc

def Test1_Constraint(model, TimeIndex):
   SumAccumulatedShortfall=0
   for TimeCount in range(0,TimeIndex+1):
         AccumulatedShortfall = (model.Liabilities[TimeCount] - \
                    sum(model.BondPayment[BondIndex, TimeCount] *model.Multipliers[BondIndex] for BondIndex in model.Bonds))* \
                                  model.AccumulationFactor[TimeCount]

         SumAccumulatedShortfall = SumAccumulatedShortfall + AccumulatedShortfall
         print('SumAccum',SumAccumulatedShortfall)
    return (SumAccumulatedShortfall/model.TotalLiabilityValue <= 0.03)