Parameter estimation using fmincon - how to set up the problem in MATLAB?
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I've an objective function of the form,
Note: M,D arematrices.
The second equation is the objective function that has to be minimized using fmincont to estimate diagonal entries of D tilde.
I'm using fmincon for the first time. I'd like to know if the objective function has to be approximated uisng trapzoidal quadrature .
Next, I want to provide the third equation mentioned above as dynamical constraints . Should this (eq 3) also be approximated by trapezoidal rule in a separate function?
I suppose the dynamical constraints must be specified as non-linear equality constraints. Is it also reuired to specify upper and lower bounds for variables in vctor phi?
Right now I have dphi/dt as a set of odes.
I am not sure how to set up this problem in MATLAB.
There are no linear inquality and linear equality constraints.
Any suggestions on how to proceed will be really helpful.