Problem formulation with Quadprog

Discussion in 'MATLAB' started by philippe.broillet, Jul 16, 2007.

  1. Hello,

    I'm trying to solve the following problem :
    Max D(x) = x'Vx - x'V*x

    V and V* has no specific relationship.

    Is it possible to solve this with Quadprog ?
    If yes, how to implement ?

    Regards,
    Philippe
     
    philippe.broillet, Jul 16, 2007
    #1
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  2. -------------------
    Finding the maximum of x'Vx - x'V*x is the equivalent of finding the
    minimum of x'(V*-V)x. I don't see what your problem is with regard to the
    use of 'quadprog'. Is x a column vector and x' its conjugate transpose?
    Are V and V* square arrays? Do you have any constraints to place on x?
    (If not, the problem is either trivial or without a solution.)

    Note: When using matlab, you need to use notation other than V* for your
    second array. The latter conflicts with matlab's symbol for matrix
    multiplication.

    Roger Stafford
     
    Roger Stafford, Jul 16, 2007
    #2
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