quadprog constraints with minimum value
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I would like to set up the quadprog constraint for minimum position in each asset as 0 or 0.5%.
Because the solver returns a whole bunch of tiny positions between 0-0.5% which are unrealistic to implement.
Thanks.
采纳的回答
One possible alternative would be to use minL1lin,
instead of quadprog. An L1-norm cost function will tend to have sparser solutions than a quadratic cost. So, that may be a way of reducing small residual non-zeros in the solution.
更多回答（2 个）
If the lower bounds of asset are set to 0.5%, then all assets in the optimization universe would need to have at least 0.5% weights.
lb is a vector-valued argument. Set each lb(i) to the appropriate lower bound.
Matt J
2022-5-10
0 个投票
If you have the Global Optimization Toolbox, you could also try using ga() with additional binary variables b(i). Denoting your originally set of continuous variables as x(i), you could impose linear inequality constraints x(i)-0.5*b(i)>=0 to enforce your bounds.
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