Regression Formulation of Mixed-Integer Quadratic Programming

Hi Everyone!

I am trying to formulate a regression problem in the form of the following equation (which is from the Matlab portfolio optimization example code found here)

Eq. 1 - Portfolio Optimization Equation

The reason I ask is because I want to modify the Matlab code http://in.mathworks.com/help/optim/examples/mixed-integer-quadratic-programming-portfolio-optimization.html so that I can run a regression problem instead (with some integer constraints) but the code is giving some errors (not converging). I would like help in verifying that my approach of reformulating this problem is correct?

Many thanks,

Priyan.

Answer 1

[Matt J]

Yes, it is correct.