Quadratic programming with just one constraint
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Hi,
I have a quadratic programming problem which basically looks like
I am using quadprog: https://www.mathworks.com/help/optim/ug/quadprog.html#d123e128542
However, the equality restrictions there are only in the form , and the programm demands the matrix to be of full rank. The only constraint I want to impose is , but I don't know how to do this, since apparently I would need as many linear constraints as the . Is there a way around this?
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Matt J
2021-4-21
编辑:Matt J
2021-4-21
We may have to be given your input matrices to reproduce the problem, but since ones(1,d) is full row rank, there shouldn't have been a problem, even if it were a requirement of quadprog. As you can see in the simple example below, no errors are thrown using Aeq=ones(1,d=4):
A=rand(4); A=A*A.'; %symmetrize
c=rand(4,1);
Aeq=ones(1,4); beq=4;
lb=c*0; ub=c*0+10;
quadprog(A,c,[],[],Aeq,beq,lb,ub)
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