Using Matlab Fmincon as a substitute for Excel solver tool
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I'm an amateur Matlab user. I turned to Matlab as the solver in excel restricts how many variables can be used variables. I'm trying to maximise a function subject to constraints using Fmincon. However I'm getting an error when I try to run it.
My code is:
% Objective function m file:
function f = objectivefunction3(x)
f = -FinalAlphas*x'+ x*VCV*x'
% Code to run Fmincon:
[x, fval] = fmincon(@objectivefunction2,x0,A,B)
I get the following error when running it:
Error in objectivefunction3 (line 2)
f = FinalAlphas*x'- x*VCV*x'
Error in fmincon (line 631)
initVals.f = feval(funfcn{3},X,varargin{:});
1 个评论
Matt J
2013-10-17
Since your function is a quadratic (and possibly a linear least squares) objective and your constraints are linear, it would be better to use QUADPROG or LSQLIN, rather than FMINCON.
回答（1 个）
Daniel Shub
2013-10-17
My guess is your objective function is not valid
% Objective function m file:
function f = objectivefunction3(x)
f = -FinalAlphas*x'+ x*VCV*x'
unless you are using nested functions, FinalAlphas and VCV are not dfined.
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