Maximize function with constraints using fmincon
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Hi guys, I want to max a function with constraints. I think fmincon would work but I don't know how to write it that it works.
function [s] = objectfun1(w)
%thats the function, where w is unkown wheight vector of
%10 assets and M3 is constant CoskewnessMatrix
s = w'*M3*kron(w,w);s=-s;
end
x0=zeros(10,1);
Aeq=[1 1 1 1 1 1 1 1 1 1];
beq=1;
lb=zeros(10,1);
ub=ones(10,1);
w=fmincon(@objectfun1, x0, [], [], Aeq, beq,lb,ub)
Errors : _ _Undefined function or variable 'M3'.
Error in objectfun1 (line 3)
s = w'*M3*kron(w,w);s=-s;
Error in fmincon (line 545)
initVals.f = feval(funfcn{3},X,varargin{:});
Error in testSkew (line 7)
w = fmincon(@objectfun1,zeros(10,1),[],[],[1 1 1 1 1 1 1 1 1 1],1,zeros(10,1),ones(10,1));
Caused by:
Failure in initial user-supplied objective function evaluation. FMINCON cannot continue._ _
It should give me Max s and the coresponding weight vector. I would be glad for any help or the correct code :)
1 Commento
Risposta accettata
Torsten
il 20 Nov 2014
1. M3 is not defined in objectfun1 ;
2. w'*M3*kron(w,w) does not look like a scalar value to me ;
3. Better delete the blanks in the call to fmincon.
Best wishes
Torsten.
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