我想盡量減少由約束變量以外的變量組成的目標函數。有沒有一種方法將參數傳遞給這樣的功能,例如:傳遞參數到目標函數fmincon Matlab
data = xlsread('Returns.xlsx', 'Sheet2','A2:F324');
for i = 1:10
returns = data(i:i+59,1:5);
fund = data(i:i+59,6:6);
lb = [0;0;0;0;0];
ub = [1; 1; 1; 1; 1];
[betas, fval] = fmincon(@obj_function, [0 .2 .2 .2 .2 .2], [], [], [], [], lb, ub, @constraints);
end
和目標函數定義爲:
function [ value ] = obj_function(betas)
value = returns*betas(2:6) + betas(1);
value = sum((value - fund)^2);
end
因爲我的目標函數需要額外的變量returns
和fund
什麼是我能繼續從主要功能中傳遞出來的最佳方式嗎?以下聲明無效,我還能做什麼?
[betas, fval] = fmincon(@obj_function(returns, fund), [.2 .2 .2 .2 .2], [], [], [], [], lb, ub, @constraints);
EXTRA,功能約束的定義如下:
function [ c, ceq ] = constraints(betas)
c = [];
ceq = betas(2)*1 + betas(3)*1 + betas(4)*1 + betas(5)*1 + betas(6)*1 - 1;
end