Convex quadratic problem on two variables

Hello there,

Which function should I use for the following problem? I believe none of the built-in optimization functions gets two variables.

where and are given vectors and SPD matrices of appropriate sizes.

Many thanks to you

Answer 1

[Torsten]

fminimax.

min_d max_j (g_j^t*d + 0.5*d^t*B_j*d)

And the solution variables have to be put in one vector x that can comprise as many variables as fit in your RAM (thus not only two).