Regression Formulation of Mixed-Integer Quadratic Programming

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priyan
priyan 2015-9-15
编辑： Walter Roberson 2017-10-12
Hi Everyone!
I am trying to formulate a regression problem in the form of the following equation (which is from the Matlab portfolio optimization example code found here)
Eq. 1 - Portfolio Optimization Equation
The reason I ask is because I want to modify the Matlab code http://in.mathworks.com/help/optim/examples/mixed-integer-quadratic-programming-portfolio-optimization.html so that I can run a regression problem instead (with some integer constraints) but the code is giving some errors (not converging). I would like help in verifying that my approach of reformulating this problem is correct?
Many thanks,
Priyan.

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回答（1 个）

Matt J
Matt J 2017-10-12
Yes, it is correct.

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