Fmincon optimization and optimvar

I have a theoretical question related to a quadratic optimization problem. I would need to know whether in the fmincon function it is possible to optimize a logical variable (which takes values equal either to 0 or 1). To do this, I would have used the optimvar function to create the optimization variable. In particular, I would write:

dummy = optimvar('dummy',nAsset,1,'Type','integer','LowerBound',0,'UpperBound',1);

Then in the fmincon function I would optimize an objective function that depends also on this dummy. I have looked for in the help section if optimvar is compatible with fmincon but I have not found any result. If not, do you have any suggestion to solve quadratic problems with binary variables?

Thanks a lot for your support,

Giovanni

Answer 1

[Alan Weiss]

Currently, optimvar is available only for linear and mixed-integer linear problems, as I tried to document clearly.

There is one example of MIQP, but I don't know whether your particular problem would fit into that example's approach.

Good luck,

Alan Weiss

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