Allocation Optimization problem - Arrow Debreu
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Hi,
Is it possible to optimize not only a single number but an entire matrix? here is a smaller scale version of my problem.
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/165722/image.png)
As you can see my matrix of x's is a kinda Arrow Debreu Asset matrix, where every x can only be used once in our matrix. I don't think I can do this with the intlinprog function or fmincon.
Thank you.
2 Commenti
KSSV
il 24 Nov 2016
Are you looking for something like this?
k = 10:10:70 ;
l = [1 0 0 1 1 0 0; 0 1 1 0 0 0 0;0 0 0 0 0 1 1] ;
K = repmat(k,size(l,1),1) ;
lhs = K.*l
Question is not clear.
Risposte (1)
Walter Roberson
il 24 Nov 2016
This case appears to have multiple objectives, some of which could get worse if you made others better. You would probably need to do a multiobjective optimization.
One form of multiobjective is shown at https://www.mathworks.com/help/optim/ug/generate-and-plot-a-pareto-front.html which uses fgoalobtain to do pareto optimization.
You can also use gamultiobj to do pareto optimization.
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