non linear optimization problem

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Peihong
Peihong 2013 年 4 月 24 日
Hi, I encountered one optimization question like this
maximize R' *Log(w)
subject to w' *cov*w<=0.1 and w>=0
where R is a nx1 vector (given), w is one nx1 vector (to be solved), cov is a n x n matrix (given).
It seems it's not a standard question to be solved by optimizer, is there anyone to give me some hints, thanks!

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Matt J
Matt J 2013 年 4 月 24 日
編集済み: Matt J 2013 年 4 月 24 日
It seems it's not a standard question to be solved by optimizer
Why do you say that? What would be considered a "standard question"?
If R>=0, then it is a convex optimization problem and should be very easy to solve. Try FMINCON.
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Peihong
Peihong 2013 年 4 月 24 日
Thanks a lot. I tried the FMINCON, it works. have a good day.

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