fmincon function handle using matrix

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Maite Alonso Parra
Maite Alonso Parra 2018-8-22
回答： Torsten 2018-8-22
Hi I'm trying to solve a portfolio optimization problem using fmincon. I want to specify de Function to minimize with a function handle in witch X is a vector and L an m*m matrix.
function y = myfun(X,L) y = X'*L*X; end
How could I do? I don't use quadprog because I want to use nonlinear constrictions.

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Torsten
Torsten 2018-8-22
myfun = @(x,L)x.'*L*x;
objfun = @(x)myfun(x,L);
sol = fmincon(objfun,...)
with x being an (mx1) column vector.
Best wishes
Torsten.

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