writing fmincon funtion in matlab

Question

dav 2013-3-19

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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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Answer 1

Matt J 2013-3-19

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编辑：Matt J 2013-3-19

在 MATLAB Online 中打开

fun=@(x) norm(C*x(:)-ytinitial)^2;

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Matt J 2013-3-19

编辑：Matt J 2013-3-19

I would expect LSQLIN to perform better than FMINCON, at least in terms of speed, because FMINCON has less knowledge of the problem structure, i.e., it doesn't know the problem is linear least squares.

dav 2013-3-19

thank you very much Matt.

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Answer 2

Alan Weiss 2013-3-19

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链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/67844-writing-fmincon-funtion-in-matlab#answer_79253

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