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 ) Eq. 1 - Portfolio Optimization Equation > For the regression we have that > Which simplifies to: > Thus this should be the same form as Eq. 1? With the Betas=x, Lambda=1, Q=X'X and r = 2y'X? Since y'y is a scalar it can be ignored? The reason I ask is because I want to modify the Matlab code 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.

Regression Formulation of Mixed-Integer Quadratic Programming

priyan

2015 9 月 15

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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.