
Info
This question is closed. Reopen it to edit or answer.
setting up a quadprog constraint problem
4 views (last 30 days)
Show older comments
Hello Below is a simple problem, I have a set of weights and I want to minimize SSD based on the following constraints
0≤A11+A12 + A21+ A22 + A31+A32 ≤0.3
0≤B1≤0.8
A11+A12 =A21+A22 =A31+A32
A11+A12 + A21+ A22 + A31+A32 + B1=1
I want to minimize sum of squared difference to the original weight vector subject to the above constraints
how do I specify this in quadprog in MATLAB the constraints?
weights.data = [0.05 0.05 0.15 0.05 0.22 0.08 0.4]
weights.header = {'A11', 'A12', 'A21', 'A22', 'A31', 'A32', 'B1'}
w0 = weights.data
Constraints = [
1 0 1
1 0 1
1 0 1
1 0 1
1 0 1
1 0 1
0 1 1
]
ub = [0.3 0.8 1]
lb = [0 0 1]
A0 = Constraints;
%%Inequality constraints A_le = [-A0, A0]';
b_le = [-lb, ub];
n = 7
[solution, fval, exitflag,output] = quadProg(eye(n), -w0', A_le,b_le,[],[],[],[],w0, options);
Thanks for your help!
Answers (0)
This question is closed.
See Also
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!