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
il 19 Mar 2013
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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