悬赏 50 个论坛币 未解决
function f=myfun(x) %目标函数
R=x*r';
alpha=0.05;
Percent=100*(0:alpha:1);
y=prctile(R,Percent);
VaR=-y;
f=VaR+1/300/alpha*sum(max(0,-R-VaR));
m=mean(r);
M=0.002;
A1=eye(30);
b1=zeros(1,30);
A2=m;
b2=M;
A=-[A1;A2];
b=-[b1,b2]';
Aeq=ones(1,30);
beq=1;
lb=zeros(30,1);
ub=ones(30,1);
x0=ones(1,30)/30;
options=optimset('LargeScale','off');
[x,CVaR]=fmincon(@myfun,x0,A,b,Aeq,beq,lb,ub,[],options);
r是300行30列的矩阵,运行程序后一直提示出错:
出错 fmincon (line 552)
initVals.f = feval(funfcn{3},X,varargin{:});
出错 moxingqiujie (line 15)
[x,CVaR]=fmincon(@myfun,x0,A,b,Aeq,beq,lb,ub,[],options);
原因:
Failure in initial objective function evaluation. FMINCON cannot continue.
求大神们帮忙解决一下