quadprog for constrained maximisation
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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)?
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Alan Weiss
2018-3-28
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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:
- Write scalar objective function
- Maximize instead of minimize
- Linear constraints
- Lower bound constraints
Alan Weiss
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2018-3-28
2018-3-28
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