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fmincon (how to set square of a parameter in a constraint)

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Fara
Fara 2011-2-6
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?

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回答（2 个）

Bruno Luong
Bruno Luong 2011-2-6
You can't use Ax=b formulation. Your constraint is non-linear constraint so use the non-linear constraint formulation.
Fara
Fara 2011-2-6
Thanks.
Haven't tried it before. Will check it out.

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