I have a theoretical question related to a quadratic optimization problem. I would need to know whether in the fmincon function it is possible to optimize a logical variable (which takes values equal either to 0 or 1). To do this, I would have used the optimvar function to create the optimization variable. In particular, I would write:
dummy = optimvar('dummy',nAsset,1,'Type','integer','LowerBound',0,'UpperBound',1);
Then in the fmincon function I would optimize an objective function that depends also on this dummy. I have looked for in the help section if optimvar is compatible with fmincon but I have not found any result. If not, do you have any suggestion to solve quadratic problems with binary variables?
Thanks a lot for your support,
Giovanni
