MATLAB: How to run optimisation problem

Extended Symbolic Math Toolboxoptimisation

Hello!

How can I run such kind of optimization :

max Q subject to x = x1,…, xn, where = Rp / σp

and constraints :

Rp = R' * x

σp^2 =x' * Σ * x

sum(x) = 1

Can someone help me about how to write down my objective function …and the rest of the constraints. What type of sover I need to use ?

Best regards,

Best Answer

Dear Torsten,

I have another unexpected problem.

When I run x = fmincon(fun,x0,A,b,Aeq,beq) in Command Window, I receive the error message:

Undefined function or variable 'returns'.

Error in @(x)-(x'*returns)/sqrt(x'*sigma*x)

Error in fmincon (line 564)

initVals.f = feval(funfcn{3},X,varargin{:});

Caused by:

Failure in initial user-supplied objective function evaluation. FMINCON

cannot continue.

I do not understand. I provided with returns and sigma matrixes in Workspace Window.

Thank you.

Related Solutions

MATLAB: How to use the optimization toolboox for a value at risk based problem

You probably just didn't pass your extra parameters properly. I assume that you have cv and m1 in your workspace, and you want to optimize over the parameters pwgt2. If so, you should set your objective function to

 fun = @(pwgt2)sharp(pgwt2,cv,m1);

and then call

 [x,fval,exitflag] = fmincon(fun,x0,...)

Alan Weiss

MATLAB mathematical toolbox documentation

MATLAB: How to put a series of sum into a function

I did not try to run your code, but I have several comments.

Use the appropriate solver for your objective. For a quadratic objective function with linear constraints, the Optimization Decision Table says to use quadprog.
Even if you decide to use fmincon as a solver, you cannot write an objective function using an anonymous function with a loop. Instead, write the loop in a function file, and call the function file with fmincon. For an example, see an introductory example on minimization.
Where do you define C? Or is that your name for your decision variable w_rp?

Good luck,