quadprog for constrained maximisation

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Saif Al Mutairi 2018-3-28

回答： Alan Weiss 2018-3-28

I am trying to rewrite the following maximisation problem in quadprog format.

max{w} (w'.M - r) / (w S w)^-0.5 subject to w'. 1 = 1 and all w >=1

How can such problem be reformulated to suite Matlab optimisation solvers like quadprog (https://uk.mathworks.com/help/optim/ug/quadprog.html)?

Alan Weiss 2018-3-28

I don't know how that problem can be formulated for quadprog. However, it is simple to formulate it for fmincon. For help, check the documentation:

Alan Weiss

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