Info

この質問は閉じられています。 編集または回答するには再度開いてください。

setting up a quadprog constraint problem

1 回表示 (過去 30 日間)
hdg D
hdg D 2013 年 10 月 27 日
閉鎖済み: Matt J 2013 年 10 月 28 日
Hello Below is a simple problem, I have a set of weights and I want to minimize SSD based on the following constraints
0≤A11+A12 + A21+ A22 + A31+A32 ≤0.3
0≤B1≤0.8
A11+A12 =A21+A22 =A31+A32
A11+A12 + A21+ A22 + A31+A32 + B1=1
I want to minimize sum of squared difference to the original weight vector subject to the above constraints
how do I specify this in quadprog in MATLAB the constraints?
weights.data = [0.05 0.05 0.15 0.05 0.22 0.08 0.4]
weights.header = {'A11', 'A12', 'A21', 'A22', 'A31', 'A32', 'B1'}
w0 = weights.data
Constraints = [
1 0 1
1 0 1
1 0 1
1 0 1
1 0 1
1 0 1
0 1 1
]
ub = [0.3 0.8 1]
lb = [0 0 1]
A0 = Constraints;
%%Inequality constraints A_le = [-A0, A0]';
b_le = [-lb, ub];
n = 7
[solution, fval, exitflag,output] = quadProg(eye(n), -w0', A_le,b_le,[],[],[],[],w0, options);
Thanks for your help!
  1 件のコメント
Matt J
Matt J 2013 年 10 月 28 日
編集済み: Matt J 2013 年 10 月 28 日
Kindly use the
toolbar button so that your code is distinguishable from your text.

回答 (0 件)

この質問は閉じられています。

タグ

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by