writing fmincon funtion in matlab

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dav
dav 2013-3-19
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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采纳的回答

Matt J
Matt J 2013-3-19
编辑：Matt J 2013-3-19
fun=@(x) norm(C*x(:)-ytinitial)^2;
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Matt J
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
dav 2013-3-19
thank you very much Matt.

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更多回答（1 个）

Alan Weiss
Alan Weiss 2013-3-19
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
  1 个评论
dav
dav 2013-3-19
编辑：dav 2013-3-19
I did but, still couldn't figure it out!
I am having trouble writing the "fun" in x = fmincon(fun,x0,A,b)

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