Double summation with multiplication

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Agus Suwarno
Agus Suwarno 2015-10-17
回答： Walter Roberson 2015-10-18
Hi there, I currently working on a my study's final project One of which require me to solve this kind of equation
Objective is to maximize this function
r, sigma(i) --> for standard deviation, teta, and cov(i,j) are known number and I want to find the w(i) value with constraint: - Lower bound for w(i) is 0 - Upper bound for w(i) is 0 - Sum w(i) is 1
Any help is very appreciated and sorry for bad english

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回答（1 个）

Walter Roberson
Walter Roberson 2015-10-18
To maximize something, minimize its negative. You can use fmincon for that, using a lowerbound.
Although it might seem most natural to code sum(w)=1 as a linear equality constraint, that form is inefficient because it can take a lot of hunting to fit the equality. Instead use one fewer w, calculate the last w(i) as 1 minus sum(w(1:i-1)), and have a linear inequality constraint on sum(1:i-1) as being < 1 (strictly) so that there always some room for the last w(i)

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