How to find the global minimization of a quadratic concave function (or maximization of a convex function) over quadratic convex constraints ?

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Chihang Wei
Chihang Wei 2016년 12월 9일
답변: Alan Weiss 2016년 12월 12일
The optimization problem in standard form is: min -x'Px s.t. x'Qx<=d where P and Q are both positive semidefinite. Then how to find the speicific x to minimize -x'Px?

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Alan Weiss
Alan Weiss 2016년 12월 12일
You could try fmincon starting from a variety of points. For an efficient problem formulation, see Linear or Quadratic Objective with a Quadratic Constraint.
Alan Weiss
MATLAB mathematical toolbox documentation

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