fmincon函数调用问题

请教一个求极大似然值的问题，已知一变量服从近似正态分布，其均值为：(x(1)+x(5)*x(4))/(1-x(2)-x(3))，方差为：((x(6)/(1-x(7)-x(8)))-(2*((x(9)^2))*x(4)*(1-x(4))))*(1/(1-x(2)^2-x(3)^2))，其极大似然函数为：-(n/2)*log((2*pi)*deta)-((1/(2*deta))*sum((y-mu)'*(y-mu)))。其中约束有：x(2)^2+x(3)^2<1;x(7)^2+x(8)^2<1;x(4)>0,0<x(9)<0.由于存在非线性约束，所以求似然函数的极大值只能用fmincon函数。我尝试编程总是存在问题！请教各位高手吗，应该如何编程！附上自己编的小程序：
function x= example4_2a
load szzs
a = szzs(:);
y =100*(diff(log(a)));
n=length(y);
x0 = [0,0,0,1,1,1,0,0,0.5];
lb=[-inf,-inf,-inf,0,-inf,-inf,-inf,-inf,0];
ub=[inf,inf,inf,inf,inf,inf,inf,inf,1];
x = fmincon(@subfun,x0,[],[],[],[],lb,ub,[],@example4_2a1);
    function f = subfun(x)
        mu =(x(1)+x(5)*x(4))/(1-x(2)-x(3));
        m = sum((y-mu)'*(y-mu));
        deta =((x(6)/(1-x(7)-x(8)))-(2*((x(9)^2))*x(4)*(1-x(4))))*(1/(1-x(2)^2-x(3)^2));
        f = (n/2)*log((2*pi)*deta)+((1/(2*deta))*m);
    end
end
数据（szzs)是：3243.76000000000
3282.17900000000
3254.21500000000
3192.77600000000
3195.99700000000
3212.75000000000
3273.96600000000
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fdw001 发表于 2012-3-28 22:11
我知道了，是要添加一个线性约束：x(7)+x(8)

这个程序,只是让你的数据能运行
你的模型,还存在问题
就让你自行慢慢修改.

%%%in matlab command Window
load szzs.txt
a = szzs(:);
y =100*(diff(log(a)));
n=length(y);
x0 = [0,0,0,1,1,1,0,0,0.5];
lb=[-inf,-inf,-inf,0,-inf,-inf,-inf,-inf,0];
ub=[inf,inf,inf,inf,inf,inf,inf,inf,1];
                     
[x,fval] = fmincon(@(x)subfun(x,y,n),x0,[],[],[],[],lb,ub,@nonlcon)


%%%%subfun.m
function f = subfun(x,y,n)
    mu =(x(1)+x(5)*x(4))/(1-x(2)-x(3));
    m = sum((y-mu)'*(y-mu));
    deta =((x(6)/(1-x(7)-x(8)))-(2*((x(9)^2))*x(4)*(1-x(4))))*(1/(1-x(2)^2-x(3)^2));
    f = -(n/2)*log((2*pi)*deta)+((1/(2*deta))*m);
   

%nonlinear inequalities c(x)
%%%%%%%nonlcon.m
function [c,ceq]=nonlcon(x)
c(1)=x(2)^2+x(3)^2-1;
c(2)=x(7)^2+x(8)^2-1;
ceq=[];

程序要能运行不难
但variance equation不需要linear inequalities A*x =< b ??
如果约束条件没设好
结果会很离谱

epoh 发表于 2012-3-27 16:18
程序要能运行不难
但variance equation不需要linear inequalities A*x =< b ??
如果约束条件没设好

不需要线性约束，因为只是用来求极大似然估计的！

fdw001 发表于 2012-3-27 21:27
不需要线性约束，因为只是用来求极大似然估计的！

所有的约束条件都在上面了，没有其他的约束

fdw001 发表于 2012-3-27 21:28
所有的约束条件都在上面了，没有其他的约束

variance equation不需要
alpha + beta < 1  ??

epoh 发表于 2012-3-27 21:37
variance equation不需要
alpha + beta < 1  ??

不需要的，要保证方差大于0，只需要上面的两个非线性约束：x(2)^2+x(3)^2<1;x(7)^2+x(8)^2<1;

fdw001 发表于 2012-3-27 23:48
不需要的，要保证方差大于0，只需要上面的两个非线性约束：x(2)^2+x(3)^2

fmincon()加入nonlinear inequalities c(x)很简单

重点在于你的mean equation,variance eqation & log-likelihood function的正确性
依你的条件跑出来的结果:

deta 是负的-2.8489e-019,非你所说保证方差非负
fval=-4.7628e+027 -7.1942e+002i当然毫无意义

epoh 发表于 2012-3-28 19:20
fmincon()加入nonlinear inequalities c(x)很简单

重点在于你的mean equation,variance eqation & log ...

我知道了，是要添加一个线性约束：x(7)+x(8)<1,请问可不可以把你的程序贴出来给我参考一下啊？非常感谢！

epoh 发表于 2012-3-29 14:09
先声明这个程序,只是让你的数据能运行
你的模型,还存在很多问题
就让你自行慢慢修改吧.

我知道了，非常感谢你的帮助！