Mixed interger nonlinear problem using outer-approximation algorithm

Hi everyone ! How can I solve this problem using outer-approximation algorithm in matlab?
This code below (link), i can understand constraint (3), (4) but i don't know how to set up constraint (1), (2) and how to get solution of the problem?
AssetMean = [ 0.0101110; 0.0043532; 0.0137058 ];
AssetCovar = [ 0.00324625 0.00022983 0.00420395;
0.00022983 0.00049937 0.00019247;
0.00420395 0.00019247 0.00764097 ];
p = Portfolio('AssetMean', AssetMean, 'AssetCovar', AssetCovar);
p = setBounds(p, 0.02, 0.5,'BoundType', 'Conditional', 'NumAssets', 3); %constraint4
p = setMinMaxNumAssets(p, 2, 2); %constraint 3
pint = setSolverMINLP(p,'OuterApproximation', 'NonlinearScalingFactor', 1e4, 'Display', 'iter', 'CutGeneration', 'basic');
Note: This is solution i found using genetic algorithm (with 6 assets):
k=5; R=0.0002; variable bound=[0,1]
AssetMean =[0.0012990939441470022; 0.0015933504287633528; 0.0010361268814116473; 0.0005004158219935784; 0.0008923835043459438; 0.0008016334131956271]
AssetCovar =[[0.00035272 0.00020694 0.00021687 0.0001713 0.00015726 0.00015636]
[0.00020694 0.00036172 0.00024028 0.00013721 0.00015878 0.00011252]
[0.00021687 0.00024028 0.00041546 0.00015554 0.00016386 0.00013586]
[0.0001713 0.00013721 0.00015554 0.00014619 0.00013599 0.00013965]
[0.00015726 0.00015878 0.00016386 0.00013599 0.00065362 0.00011029]
[0.00015636 0.00011252 0.00013586 0.00013965 0.00011029 0.00024724]]

回答 (0 件)

カテゴリ

ヘルプ センター および File ExchangeQuadratic Programming and Cone Programming についてさらに検索

質問済み:

2020 年 11 月 8 日

Community Treasure Hunt

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

Start Hunting!

Translated by