MATLAB: Optimization Constraints

absolute constraintsoptimizationquadprog

Hi
I want to find a solution of the following problem.
min 1/2 * x'*Q*x – f*x' s.t. sum(x) = 0 sum(abs(x)) = 1
I am using the function quadprog but i don't know how to give the second constraint the one with the absolute.
Is there a way to give such constraints in quadprog or fmincon or some other matlab optimization function??
Any help would be appreciated
Thanks George

Best Answer

I think i can use the argument nonlcon in fmincon function.
function [cineq ceq] = nonlcon(x)
ceq sum(abs(x))-1;
cineq = [];
end
fmincon(@myfun,A,b,Aeq,beq,lb,ub,@nonlcon,options);
Anyone can confirm that?
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