how to use the objective function minimize te in quadprog

4 次查看（过去 30 天）
hdg D
hdg D 2013-1-22
评论： Matt J 2015-12-11
I would like to make sure if this is correct
I have a set of initial weights [10x1] - w0 covariance matrix [10x10] - myCov
f = -w0'*myCov
[solution, fval, exitflag,output] = quadProg(mycovNew.data, f, A_le,b_le,Aeq,beq,zeros(n,1),[],w0, options)
Is this the correct syntax if I want to minimize TE with respect to initial set of weights.
Thanks!
  2 个评论
Matt J
Matt J 2013-1-22
What's "TE"? Also, in one place you write myCov and later mycovNew.data. Are they the same thing?
hdg D
hdg D 2013-1-23
apologize te = tracking error and mycovNew = myCov Thanks, The objective is to minimize (w-w0)'myCov(w-w0)

请先登录，再进行评论。

请先登录，再回答此问题。

回答（1 个）

Matt J
Matt J 2013-1-22
编辑：Matt J 2013-1-22
It's the correct syntax if the objective you're minimizing is
w.'*myCov*w/2 - w0'*myCov*w
  5 个评论
显示 3更早的评论
R H
R H 2015-12-11
Hi, to minimize (w-w0)'myCov(w-w0), don't you need an additional term: w0'*myCov*w0?
Matt J
Matt J 2015-12-11
The additional term is an additive constant, and therefore including/excluding it doesn't affect the optimization.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Quadratic Programming and Cone Programming 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