Failure of initial objective function
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I am getting the dreaded "Failure in initial objective function evaluation. FMINCON cannot continue." Notification.
I am trying to use fmincon, but also using a simple loop within the function to see how parameters change over time.
Here is my code:
```
%Define Function- fmincon%
opts = optimset ('Display','iter','TolX',2e-9,'TolFun',2e-9,'MaxIter',100000,'MaxFunEvals',10000000,'FunValCheck','on');
[param,fval,exitflag,output,lambda,grad,hessian] = fmincon(@(param) Posterior(data,idx,param),param0,A,b,Aeq,beq,lb,ub,nonlcon,opts);
err = sqrt(diag(inv(hessian)));
%Run posterior function that is solved for Ep1.5%
k = 1; %number of predictors
function LL = Posterior(data,idx,param)
%n = 13; %number of obs: simple case
n = max(data.AgeMinus1); %Will update to go by ID
% define components of the function:
%EpPrior0 = param(idx.EpPrior);
Tau0 =param(idx.Tau); %Prior Variance/precision
Sigma_sq0 = param(idx.Sigma_sq); %Variance of
ShockInfo0 =param(idx.ShockInfo); % n = how informative the observation was
% Define vector to hold the shocks:
Shock = zeros(n, 1);
% Define a vector to hold the precision of the prior:
Tau = zeros(n+1,1);
Tau(1,:) = Tau0(1,:); % Variance of prior going into period 1
for i=1:n % Start the sampling
Shock(i,:) = data.Ep2(i,:) + (data.Ep2(i,:)- data.Ep1(i,:)).*(Sigma_sq0(i,:)./(ShockInfo0(i,:).*Tau(i,:))); %Ep 1.5
Tau(i+1,:) = ((Sigma_sq0(i,:)./ShockInfo0(i,:)).*Tau(i,:))./(Tau(i,:) + (Sigma_sq0(i,:)./ShockInfo0(i,:)));
end
LL = -sum(log(normpdf(Shock, 0, Sigma_sq0)));
end
```
How can I fix this error?
Thank you in advance!
6 件のコメント
Torsten
2022 年 11 月 15 日
You should define "param0" in the same way as you extract the fitting parameters from "param" in "Posterior".
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