Run the same fmincon multiple times

Question

Markus 2015-3-27

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/194818-run-the-same-fmincon-multiple-times

编辑： Markus 2015-3-27

Hey everybody, i want to minimze a risk measure (CVaR), the input is a return matrix. The Solution works if i determine the return matrix. My aim is though to run this problem 145 times with 145 different return matrixes, saved in returns {i}. So i thought i just make a 145x objfun{i} cell and so a 145x problem {i} cell, which also works. But the last command "w{i}= run(gs,problem{i})" gives several errors:

Subscript indices must either be real positive integers or logicals.

Error in @(w)CVaR(w,returns{i},conflevel)

Error in fmincon (line 635) initVals.f = feval(funfcn{3},X,varargin{:});

Error in C:\Program Files\MATLAB\R2013a\toolbox\globaloptim\globaloptim\private\globalsearchnlp.p>globalsearchnlp (line 155)

Error in GlobalSearch/run (line 336) [x,fval,exitflag,output] = ...

Caused by: Failure in initial user-supplied objective function evaluation. FMINCON cannot continue. Failure in initial call to fmincon with user-supplied problem structure.

Code:

if true
tf = 3
N = 10000
problem = cell(tf,1)
w = cell(tf,1)
CVaR = cell(tf,1)
objfun = cell(tf,1)
A = cell(tf, 1)
for i = 1:tf
conflevel=0.05; %conf.level
R0=0.0085;  %target return
objfun{i}=@(w) CVaR(w,returns{i},conflevel)
w0=[(1/nAss)*ones(1,nAss)]';
%Constrains
A{i}=[-((sum(returns{i}))/N)];
b=[-R0];
b=b';
Aeq=[ ones(1,nAss)];
beq=[1];
lb=[zeros(nAss,1)]
ub=[ones(nAss,1)]
opts = optimoptions(@fmincon,'Algorithm','interior-point', 'Display', 'off');
problem{i} = createOptimProblem('fmincon','x0',w0,'objective',objfun{i},'Aineq',A{i},'bineq',b,'Aeq',Aeq,'beq',beq,'lb',lb,'ub',ub,'options',opts)
gs = GlobalSearch
end
for i = 1:tf
w{i}= run(gs,problem{i})
end
end