Constraints problem using fmincon
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%Matrix 150 by 7
dataN=[A2 B2 C2 D E2 F2 G];
V=cov(dataN);
X=ones(7,1);
R=mean(dataN,1)';
lb=repmat(0,size(X));
ub=repmat(0.4,size(X));
Aeq=ones(1,7);
beq=1;
x0=ones(7,1)/7;
options = optimoptions(@fmincon,'Algorithm','interior-point')
[X,fval] = fmincon(@(X)-mean(X'*R),x0,[],[],Aeq,beq,lb,ub,@mycon,options)
function [c,ceq] = mycon(X)
global V
global X
c=0;
ceq=X'*V*X-1
end
My problem is my code does not respect my constraint ceq, any idea?
Thank you
2 个评论
Alan Weiss
2014-4-7
编辑：Alan Weiss
2014-4-7
It would be much easier to read your question if you would format it using the { }Code button.
And you will probably be happier overall if you get rid of global variables and use another method to pass extra parameters.
Alan Weiss
MATLAB mathematical toolbox documentation
Jhon Dukester
2014-4-9
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