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Maximize function with constraints using fmincon

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Marcel
Marcel 2014-11-19
评论： Marcel 2014-11-20
Hi guys, I want to max a function with constraints. I think fmincon would work but I don't know how to write it that it works.
function [s] = objectfun1(w)
%thats the function, where w is unkown wheight vector of
%10 assets and M3 is constant CoskewnessMatrix
s = w'*M3*kron(w,w);s=-s;
end
x0=zeros(10,1);
Aeq=[1 1 1 1 1 1 1 1 1 1];
beq=1;
lb=zeros(10,1);
ub=ones(10,1);
w=fmincon(@objectfun1, x0, [], [], Aeq, beq,lb,ub)
Errors : _ _Undefined function or variable 'M3'.
Error in objectfun1 (line 3)
s = w'*M3*kron(w,w);s=-s;
Error in fmincon (line 545)
initVals.f = feval(funfcn{3},X,varargin{:});
Error in testSkew (line 7)
w = fmincon(@objectfun1,zeros(10,1),[],[],[1 1 1 1 1 1 1 1 1 1],1,zeros(10,1),ones(10,1));
Caused by:
Failure in initial user-supplied objective function evaluation. FMINCON cannot continue._ _
It should give me Max s and the coresponding weight vector. I would be glad for any help or the correct code :)
  1 个评论
Matt J
Matt J 2014-11-20
编辑：Matt J 2014-11-20
It would be a little bit computationally cheaper to write the objective function as
function [s] = objectfun1(w)
n=length(w);
tmp=w.'*M3;
s = -(w.'*reshape(tmp,n,n)*w);
end

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采纳的回答

Torsten
Torsten 2014-11-20
1. M3 is not defined in objectfun1 ;
2. w'*M3*kron(w,w) does not look like a scalar value to me ;
3. Better delete the blanks in the call to fmincon.
Best wishes
Torsten.
  8 个评论
显示 6更早的评论
Matt J
Matt J 2014-11-20
编辑：Matt J 2014-11-20
You're missing some input arguments,
[w3, Sopt] = fmincon(fun,x0,[],[],Aeq,beq,lb,ub);
Marcel
Marcel 2014-11-20
Yes that is important and at the end this was the final mistake I made. I want to thank you both.

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