fmincon:Supplied objective function must return a scalar value.
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%constraints c and ceq
for h=linspace(h_min,h_max,69);
x=zeros(N,1);
c=h-x(1)'*D*x(2);
end
function [c,ceq]= contr (x)
ceq=[];
c=c;
end
%function to optimize
[T,N]=size(RR)
629 69
f=@(x)x(1)'*sigma*x(2);
nonlcon=@contr;
Aeq=ones(1,N);
beq=1;
l_b=[];
u_b=[];
x0=ones(N,1);
A=[];
b=[];
sigma_2rao = zeros(1,length(h));
sigma_2rao(1)=var_min;
x_rao=zeros(N,length(h));
for h=linspace(h_min,h_max,69)
[x_rao(:,h),sigma_2rao(h)] = fmincon(f,x0,A,b,Aeq,beq,l_b,u_b,nonlcon);
end
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