CODEWITHSUNDEEP
matlaboptimization
user25004
user25004

Reputation: 2088

Matlab Quadprog Constraint

I am trying to use quadprog in matlab. The variable is a matrix X. My problem has a linear constraint saying diag(AX)<= b, where A is a matrix and b is a vector. However, since quadprog only accepts vector variables, the inequality constraint above should be reformulated in vector form. But I do not know how. Can you help me to do so? Thanks.

Upvotes: 0

Views: 567

Answers (1)

user85109
user85109

Reputation:

I'll assume that A and X are square matrices, of size nxn.

What are the diagonal elements? Temporarily, I'll call

C = diag(A*X)

What is C(i,i) ?

C(i,i) = sum(A(i,j)*X(j,i))

where the sum is over j. Essentially the i'th diagonal element of C is a dot product between the i'th row of A and the i'th column of X. There are n such dot products, which are trivially written in matrix form.

Of course, if A and X are not square, the same holds as long as they conform for matrix multiplication.

Upvotes: 1

Related Questions