Can anyone help me in coding matlab code for Quadratically Constrained Quadratic Program (QCQP)?

I used fmincon but it is not working for me. i might miss something. The following is just the simplest which i want to ask for my understanding to work further for large dimensions.

subject to

where H=[2 0 0;0 2 0;0 0 2]; f=[-1; -2 ;-3], R=[7 0 0;0 7 0;0 0 7]; h=[-4 ;-5 ;-6]; c=88.

Can anyone give me a code for this problem?

Answer 1

[Torsten]

function main
  H = [2 0 0;0 2 0;0  0 2];
  f = [-1; -2 ;-3];
  R = [7 0 0;0 7 0;0 0 7]; 
  h = [-4 ;-5 ;-6]; 
  c = 88;
  x0 = [1; 1; 1];
  obj = @(x)0.5*x.'*H*x+f.'*x;
  sol = fmincon(obj,x0,[],[],[],[],[],[],@(x)nonlcon(x,R,h,c))
end

function [cineq,ceq] = nonlcon(x,R,h,c)
  cineq(1) = 0.5*x.'*R*x+h.'*x+c;
end

[Dinoma Degefa]

Torsten it is not working.

Error in drow (line 9)

sol = fmincon(obj,x0,[],[],[],[],[],[],@(x)nonlcon(x,R,h,c))

Caused by:

Failure in initial user-supplied objective function evaluation. FMINCON cannot continue.

[Torsten]

I can't test the code since I don't have a licence for the optimization toolbox.

First change "nonlcon" to

function [cineq,ceq] = nonlcon(x,R,h,c)
  cineq(1) = 0.5*x.'*R*x+h.'*x+c;
  ceq = [];
end

Secondly supply x0 as a row vector:

x0 = [1,1,1]; 

Test again.

If it still doesn't work, post the code you are using.