fmincon nonlinear equality constraint

1 次查看（过去 30 天）
Clemens Gersch
Clemens Gersch 2020-5-11
评论： Clemens Gersch 2020-5-12
Hi,
I am trying to implement the following equality constraint for using it in fmincon:
where
and TargetVariance is a fixed numeric value. The size of w is 1xN.
This is a minimal example of my code.
%Input
Mu = [.1, .15, .12];
Cov = [.3, .1, .2;
.1, .5, .1;
.2, .1, .7];
% Prepare vector of ones.
N = numel(Mu);
one = ones(1,N);
% Objective function.
NegPFMu = @(w) -Mu * w';
% Set equal weights as initial point.
w0 = one * (1/N);
% Sum of weights constraint.
Aeq = one;
beq = 1;
% Shortselling constraint.
lb = zeros(1,N);
% Minimize.
wopt = fmincon(NegPFMu, w0, [], [], Aeq, beq, lb);
Can you help me with the constraint?
I was thinking about something like the following but I don't how to call that as my nonlcon then.
function [c, ceq] = mycon(w, Cov, TargetVariance)
PortfolioVariance = @(w) w*Cov*w'
ceq = PortfolioVariance(w) - Targetvariance;
c = [];
end
Could you help me please?

请先登录，再回答此问题。

采纳的回答

Matt J
Matt J 2020-5-12
wopt = fmincon(NegPFMu, w0, [], [], Aeq, beq, lb,[], @(w) mycon(w, Cov, TargetVariance));
function [c, ceq] = mycon(w, Cov, TargetVariance)
ceq = w*Cov*w'- Targetvariance;
c = [];
end
  3 个评论
显示 1更早的评论
Matt J
Matt J 2020-5-12
编辑：Matt J 2020-5-12
@(w) mycon(w, Cov, TargetVariance) is an anonymous function.
However, if you mean you would like to avoid creating the local function mycon, then you could do this,
wopt = fmincon(NegPFMu, w0, [], [], Aeq, beq, lb,[],...
@(w) deal([], w*Cov*w'- Targetvariance) );
Clemens Gersch
Clemens Gersch 2020-5-12
That was exactly what I was looking for. Thank you!

请先登录，再进行评论。

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Solver Outputs and Iterative Display 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by