writing fmincon funtion in matlab
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Hi, Can someone please elp me to do the following optimization problem unsin FMINCON . I have a hard time writng the function that is used in FMINCON.
Thanks
clc;
clear;
p=1;
a0 = 0.1; a1 = 0.4;
epsi=zeros(3000,1);
simsig=zeros(3000,1);
for i = 1:3000
if (i==1)
simsig(i) = a0/(1-a1);
s=(simsig(i))^0.5;
epsi(i) = normrnd(0,1) * s;
elseif (i==2)
epsi(i)=epsi(1);
else
simsig(i) = a0+ a1*(epsi(i-1))^2;
s=(simsig(i))^0.5;
epsi(i) = normrnd(0,1) * s;
end
end
yt1=epsi.^2;
ytinitial=yt1(2001:3000);
y=yt1(2001:3000);
len = length(ytinitial);
C = zeros(len,p+1);
C(:,1) = 1; %The first column is for a0
for i = 1:p %Then create shifted columns ( p in number ) for a
C(1+i:len,1+i) = y(1:len-i,1);
end
options =optimset('Display','off','LargeScale','off');
coef = lsqlin(C,ytinitial,[0 1],1,[],[],[0;0],[1;1],[],options);
alpha0 =coef(1);
ar1=coef(2);
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Alan Weiss
2013 年 3 月 19 日
Check out the definition of the objective function right at the top of the lsqlin function reference page. This should enable you to write the fmincon equivalent, though I do not know why you would want to do so.
Alan Weiss
MATLAB mathematical toolbox documentation
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