Using Matlab Fmincon as a substitute for Excel solver tool

I'm an amateur Matlab user. I turned to Matlab as the solver in excel restricts how many variables can be used variables. I'm trying to maximise a function subject to constraints using Fmincon. However I'm getting an error when I try to run it.

My code is:

% Objective function m file:

function f = objectivefunction3(x)

f = -FinalAlphas*x'+ x*VCV*x'

% Code to run Fmincon:

[x, fval] = fmincon(@objectivefunction2,x0,A,B)

I get the following error when running it:

Error in objectivefunction3 (line 2)

f = FinalAlphas*x'- x*VCV*x'

Error in fmincon (line 631)

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

[Matt J]

Since your function is a quadratic (and possibly a linear least squares) objective and your constraints are linear, it would be better to use QUADPROG or LSQLIN, rather than FMINCON.

Answer 1

[Daniel Shub]

My guess is your objective function is not valid

% Objective function m file:
function f = objectivefunction3(x)
f = -FinalAlphas*x'+ x*VCV*x'

unless you are using nested functions, FinalAlphas and VCV are not dfined.