Date: Jan 2, 2014 6:23 PM
Subject: Optimization Quadratic Programming
i have a function let say f= 2*x1*x2 + x1^2 - x1 - 2*x2 + ..............
(note that the function can not be displayed by matlab because it is the result of inverse matrix, and it is very, very long so matlab can not display it)
i want to optimize f so it tends to zero (minimize) with some constraint
since it is quadratic i can use quadprog in matlab optimization toolbox
[x,fval] = quadprog(H,f,A,b,Aeq,beq,lb,ub)
but however, there comes my problem. if i use this function, i need to specify H matrix (hessian of the function) and f matrix. of course it will be a problem, since my function is very long enough that even matlab can not display it.
Do you have suggestion for me to do the optimization?