Allocation Optimization problem - Arrow Debreu

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Kyle Zarmair
Kyle Zarmair 2014-7-15
回答： Walter Roberson 2016-11-24
Hi,
Is it possible to optimize not only a single number but an entire matrix? here is a smaller scale version of my problem.
As you can see my matrix of x's is a kinda Arrow Debreu Asset matrix, where every x can only be used once in our matrix. I don't think I can do this with the intlinprog function or fmincon.
Thank you.
  2 个评论
Alexi
Alexi 2016-11-24
Hi, did you solve this problem by fmincon? Thanks.
KSSV
KSSV 2016-11-24
Are you looking for something like this?
k = 10:10:70 ;
l = [1 0 0 1 1 0 0; 0 1 1 0 0 0 0;0 0 0 0 0 1 1] ;
K = repmat(k,size(l,1),1) ;
lhs = K.*l
Question is not clear.

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回答（1 个）

Walter Roberson
Walter Roberson 2016-11-24
This case appears to have multiple objectives, some of which could get worse if you made others better. You would probably need to do a multiobjective optimization.
One form of multiobjective is shown at https://www.mathworks.com/help/optim/ug/generate-and-plot-a-pareto-front.html which uses fgoalobtain to do pareto optimization.
You can also use gamultiobj to do pareto optimization.

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