FMINUNC cannot continue...variable missing , although variable was included to be estimated in sub-function

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Raisul Islam
Raisul Islam 2018-8-4
回答： Stephan 2018-8-5
I am trying to execute the following command.
load('F:\OneDrive - University of Tasmania\Mardi Meetings\Meeting 22\Testing\MyTesting.mat');
CP1=MyTesting;
CP1(:,14)=[];
CP1(:,32:36)=[];
SAU = CP1(:,16);
ISR = CP1(:,18);
IRQ = CP1(:,15);
SLK = CP1(:,10);
NIG = CP1(:,12);
VEN = CP1(:,13);
CP1=[SAU ISR IRQ SLK NIG VEN];
CPNew = log(CP1);
CPNew= 100*(trimr(CPNew,1,0)-trimr(CPNew,0,1));
window_Size = 2;
delta = (1/window_Size)*ones(1,window_Size);
gama=1;
filt=filter(delta,gama,CPNew);
[nRow, nCol] = size(filt);
windowSize=100;
y = filt;
z = bsxfun(@rdivide,bsxfun(@minus,y,mean(y)),std(y));
%disp(' Mean Median Max Min Std.dev. Skew Kurt')
%disp( [ mean(y)' median(y)' max(y)' min(y)' std(y)' mean(z.^3)' mean(z.^4)'] )
x = [ones(length(y)-2,1) trimr(y,1,1) trimr(y,0,2) ];
b = x\trimr(y,2,0);
[rcnt, ccnt] = size(b);
mu = trimr(b,0,rcnt-1)'; % Vector of intercepts
phi1 = trimr(b,1,ccnt)'; % Lag 1 parameter estimates
phi2 = trimr(b,ccnt+1,0)'; % Lag 2 parameter estimates
% Invert A(1) matrix needed for the MLE
a1inv = inv(phi2);
bstart = [
0.001855486206481
0.068693371469487
0.023880592273368
0.001989809184491
0.013648672676092
0.000281803828058
-0.121999669995451
-0.002888991832387
0.002650363820455
0.217906436715095
0.001195294344330
0.008613191798914
0.175400639477836
1.103000246244063
0.440791629588056
0.495605700916872
0.365097267442524
-0.011572135693424
0.650892298805934
-1.176100342250688
-0.342100219212525
-1.059396487450620
-0.545902063123713
-0.729900334997059
-0.402000678739595
1.013901399027622
-1.601300249119193
1.018606365787122
0.791195906556810
0.818998254746848
0.338395871264844
0.465287945621782
-1.145684521466255
];
% bstart = rand(1,33);
options = optimset( 'Display', 'iter', ...
'MaxIter', 20000, ...
'MaxFunEvals', 20000, ...
'TolX', 1e-8, ...
'TolFun', 1e-4 );
[ b,fval ] = fminunc(@(b) neglogl(b,v),bstart,options );
disp(' Log-likelihood function ');
disp( fval );
disp( b );
%
%--------------------------- Functions ----------------------------------
%
%--------------------------------------------------------------------------
% Wrapper function for log-liklihood
%--------------------------------------------------------------------------
function lf = neglogl( b,v )
lf = - mean( loglt( b,v ) );
end
%--------------------------------------------------------------------------
% Log-likelihood function for SVAR
%--------------------------------------------------------------------------
function lf = loglt( b,v )
% Unpack parameter vector
delta = b(16:21).^2;
alpha = normcdf( b(22:27) );
beta = normcdf( b(28:33) );
[ t,n ] = size( v );
lf = zeros( t,1 );
binv = [ 1 0 0 0 0 0
b(1) 1 0 0 0 0
b(2) b(6) 1 0 0 0
b(3) b(7) b(10) 1 0 0
b(4) b(8) b(11) b(13) 1 0
b(5) b(9) b(12) b(14) b(15) 1 ];
u = ( inv(binv)*v' )';
for i = 1:t;
if i == 1;
d = delta + alpha.*(std(u).^2)' + beta.*(std(u).^2)';
else
d = delta + alpha.*(u(i-1,:).^2)' + beta.*d;
end
omega = binv*diag(d)*binv';
lf(i) = -0.5*n*log(2*pi) - 0.5*log(det(omega)) - 0.5*v(i,:)*inv(omega)*v(i,:)';
end
end
%--------------------------------------------------------------------------
% Return matrix to compute time-varying covariances
%--------------------------------------------------------------------------
function S = getSmatrix( b,v )
% Unpack parameter vector
delta = b(16:21).^2;
alpha = normcdf( b(22:27) );
beta = normcdf( b(28:33) );
[ t,n ] = size( v );
lf = zeros( t,1 );
binv = [ 1 0 0 0 0 0
b(1) 1 0 0 0 0
b(2) b(6) 1 0 0 0
b(3) b(7) b(10) 1 0 0
b(4) b(8) b(11) b(13) 1 0
b(5) b(9) b(12) b(14) b(15) 1 ];
u = (inv(binv)*v')';
for i = 1:t;
if i == 1;
d = delta + alpha.*(std(u).^2)' + beta.*(std(u).^2)';
else
d = delta + alpha.*(u(i-1,:).^2)' + beta.*d;
end
tmp = binv*diag( sqrt(d) );
S(i,:) = vec( tmp )';
end
end
%--------------------------------------------------------------------------
% Reshape a matrix to agree with GAUSS reshape command
%--------------------------------------------------------------------------
function X = reshapeg(Y,r,c)
tmp = reshape(Y',c,r);
X = tmp';
end
Getting error"
Undefined function or variable 'v'.
Error in GHVD2C>@(b)neglogl(b,v)
Error in fminunc (line 292)
f = feval(funfcn{3},x,varargin{:});
Error in GHVD2C (line 82)
[ b,fval ] = fminunc(@(b) neglogl(b,v),bstart,options );
Caused by:
Failure in initial objective function evaluation. FMINUNC cannot continue."
How to fix this?

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回答（1 个）

Stephan
Stephan 2018-8-5
Hi,
you use v as an input to your neglogl function. There should be at least one line in your code that associates v with a value, a vector, a matrix... (Since v' is multiplied to a matrix, i think it is a vector.)
This is what the error message is telling you.
Since i have no insight in the details of your problem, i can not say how to define v in detail.
I recommend to find out the meaning of v, and define it or get it from another function or .mat-file.
Best regards
Stephan

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