作者: jy02368333
我在写论文的时候遇到了一个问题，怎么解都解决不了，能不能麻烦大家帮忙一下，谢谢了。。
我求解是马科维茨方程，用matlab求出。。。
是一个二次规划。
min σ_w=w'T Vw
s.t. w'T e=w1+w2+⋯+wn=1
w'T μ=w1 *μ1+w2* μ2+⋯+wn*μn=μ
我最开始用quadprog做，程序如下：
H=[0.000784,0.000463,0.000672,0.000121,0.000286;0.000463,0.000545,0.000472,0.000088,0.000183;0.000672,0.000472,0.000986,0.000178,0.000288;0.000121,0.000088,0.000178,0.000055,0.000070;0.000286,0.000183,0.000288,0.000070,0.000238]
Aeq =[0.0095,0.0041,0.0083,0.0019,0.0041;1,1,1,1,1]
beq=[0.025;1]
f=[0,0,0,0,0]'
lb=zeros(5,1)
x=quadprog(H,f,[],[],Aeq,beq,lb)
结果matlab报错：Warning: Large-scale method does not currently solve this problem formulation,
switching to medium-scale method.
> In quadprog at 236
Exiting: the constraints are overly stringent;
no feasible starting point found.
我不能求出约束解。
后来，我就指定函数：
fun1=x'Hx
然后用fmincon做。
w0=[0.2;0.2;0.2;0.2;0.2];
w=[w1;w2;w3;w4;w5];
e=[0.000784,0.000463,0.000672,0.000121,0.000286;0.000463,0.000545,0.000472,0.000088,0.000183;0.000672,0.000472,0.000986,0.000178,0.000288;0.000121,0.000088,0.000178,0.000055,0.000070;0.000286,0.000183,0.000288,0.000070,0.000238]
objfun=w'*e*w;
r =[0.0095,0.0041,0.0083,0.0019,0.0041]'
A=[];
b=[];
Aeq=[0.0095,0.0041,0.0083,0.0019,0.0041;1 1 1 1 1];
beq=[0.025;1];
lb=[0 0 0 0 0];
[x,fval]=fmincon(@myfun1,w0,[],[],Aeq,beq,lb)
结果
matlab还是报错FMINCON cannot continue because user supplied objective function failed with the following error:
Undefined function or variable 'H'.
大家能帮忙下么。。。
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