From 8ec6164764b62b159c5a8e3806880951e45ec8d5 Mon Sep 17 00:00:00 2001 From: =?utf8?q?Bj=C3=B8rn=20Rustad?= Date: Tue, 20 Mar 2012 11:25:06 +0100 Subject: [PATCH] Add quadtest.m for problem 2 --- quadtest.m | 27 +++++++++++++++++++++++++++ 1 file changed, 27 insertions(+) create mode 100755 quadtest.m 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 -- 2.47.3