From: Bjørn Rustad <rustadbjornen@gmail.com>
Date: Tue, 20 Mar 2012 10:25:06 +0000 (+0100)
Subject: Add quadtest.m for problem 2
X-Git-Url: http://git.rustad.me/?a=commitdiff_plain;h=8ec6164764b62b159c5a8e3806880951e45ec8d5;p=optimering

Add quadtest.m for problem 2
---

diff --git a/quadtest.m b/quadtest.m
new file mode 100755
index 0000000..9ca32c1
--- /dev/null
+++ b/quadtest.m
@@ -0,0 +1,27 @@
+% covariance matrix
+C = [ 5  .2   .5  .1  .5;
+     .2   2  .01  .2  .1;
+     .5  .01   1   1   1;
+     .1  .2    1  .1  .1;
+     .5  .1    1  .1  .01 ];
+
+Cdiag = diag(diag(C));
+
+my = [5 4 3 2 1]'; % expected price at time T
+my = zeros(5, 1);
+
+% v*x = beq
+v = [1 2 3 4 5]'; % current price
+beq = [1];
+
+% A*x <= b
+A = -eye(5);
+b = zeros(5, 1);
+
+kappa = 1000;
+
+X = quadprog(kappa*C, -my, A, b, v', beq);
+X
+
+Y = quadprog(kappa*Cdiag, -my, A, b, v', beq);
+Y