Minimizing an objective function

Hi everyone,

I am quite new to Matlab. I want to minimize my objective function, but I have not done it before and I do not know how to minimize the objective function in matlab. Here is a simplified version of the function I need to minimize:

f=3*w(1) +5*w(2) +7*w(3)

st. w(1)+w(2)+w(3)=1

Any code, illustration would help tremendously.

Thanks.

Answer 1

[Roger Stafford]

Unless you place some further constraints on W values, there is no limit to how much 'f' can be reduced. The right answer would be minus infinity. For example, let W(1) = 1, w(2) = +2^50, w(3) = -2^50. Then the sum of the w's is 1 and f is -2^51+3 which is a huge negative number. If you restrict W to non-negative values, then the obvious answer is 3 without the necessity of using matlab.

To learn how to accomplish such a minimization in a general situation, read the documentation for 'fmincon' at:

   http://www.mathworks.com/help/optim/ug/fmincon.html

[Eraldo]

Thanks for your reply Roger.

Actually, the bounds are zero and one. So, it's a weighted average.

I finished it, BUT I am having difficulties with the for loop inside the function. Instead of the numbers above I need to use my estimates for each period and it just doesn't recognize my estimate. Do you think it might be because of the for loop?

Many thanks in advance.