fmincon (how to set square of a parameter in a constraint)
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I am trying to build a multivariate BEKK on GARCH(1,1), where H(t) = kk' + a'e(t-1)e(t-1)'a + b'H(t-1)b.
One of the constraints is to set a^2 + b^2 < 1 for the fmincon.
How can I set up square of a parameter for A as in Ax = b?
回答（2 个）
Bruno Luong
2011-2-6
0 个投票
You can't use Ax=b formulation. Your constraint is non-linear constraint so use the non-linear constraint formulation.
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