Optimization Constraints

Question

George 2011-11-15

Hi

I want to find a solution of the following problem.

min 1/2 * x'*Q*x - f*x' s.t. sum(x) = 0 sum(abs(x)) = 1

I am using the function quadprog but i don't know how to give the second constraint the one with the absolute.

Is there a way to give such constraints in quadprog or fmincon or some other matlab optimization function??

Any help would be appreciated

Thanks George

Answer 1

George 2011-11-16

I think i can use the argument nonlcon in fmincon function.

function [cineq ceq] = nonlcon(x)
ceq sum(abs(x))-1;
cineq = [];
end
fmincon(@myfun,A,b,Aeq,beq,lb,ub,@nonlcon,options);

Anyone can confirm that?