Using Matlab Fmincon as a substitute for Excel solver tool
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I'm an amateur Matlab user. I turned to Matlab as the solver in excel restricts how many variables can be used variables. I'm trying to maximise a function subject to constraints using Fmincon. However I'm getting an error when I try to run it.
My code is:
% Objective function m file:
function f = objectivefunction3(x)
f = -FinalAlphas*x'+ x*VCV*x'
% Code to run Fmincon:
[x, fval] = fmincon(@objectivefunction2,x0,A,B)
I get the following error when running it:
Error in objectivefunction3 (line 2)
f = FinalAlphas*x'- x*VCV*x'
Error in fmincon (line 631)
initVals.f = feval(funfcn{3},X,varargin{:});
1 Kommentar
Matt J
am 17 Okt. 2013
Since your function is a quadratic (and possibly a linear least squares) objective and your constraints are linear, it would be better to use QUADPROG or LSQLIN, rather than FMINCON.
Antworten (1)
Daniel Shub
am 17 Okt. 2013
My guess is your objective function is not valid
% Objective function m file:
function f = objectivefunction3(x)
f = -FinalAlphas*x'+ x*VCV*x'
unless you are using nested functions, FinalAlphas and VCV are not dfined.
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