Optimizing with X as a vector

Hi guys,

I'm relatively new to all of this and I have to do an important project for the University. In more details, I have to solve an optimization problem. The task is to find the vector hRs=[hRs.element1;hRs.element2] whick minimize the function error_hrs2. In addition there is a constraint which is hRs' * [h1.Price; h2.Price] <= KI_Put_Price.

My main problem is that I don't know how to use fmincon to minimize a vector. I have attached the scripts. I would appreciate if someone help with my project.

Answer 1

[Alan Weiss]

You cannot minimize a vector-valued function. You can only minimize a scalar-valued function.

You can minimize the norm of a vector-valued function, or the sum of squares of its components. You can find a Pareto set for a vector-valued function, as in Multiobjective Optimization. But it is meaningless to ask for the minimum of a vector-valued function.

Alan Weiss

MATLAB mathematical toolbox documentation

[John Ram]

Thank you for your help Alan!