constrained maximum likelihood matlab code

Hi,

I would like to convert a GAUSS code using the CML liberary (constrained maximum likelihood) into Matlab code but I can't find the corresponding fonction in Matlab (The only one I've found is MLE)

I need some help please

Thanks

Answer 1

[Tom Lane]

If you have the Optimization Toolbox, type "help fmincon." It does general minimization with constraints. You supply the negative likelihood or log-likelihood function for the problem you're trying to solve.

If you have only the Statistics Toolbox, there is no general-purpose constrained optimization function available. You can sometimes reformulate a problem to get rid of the constraints, but not always.