Question of fmincon
1 Ansicht (letzte 30 Tage)
Ältere Kommentare anzeigen
I want to minimize a utility function which contain loops in it via using fmincon, but the command window shows error of "NONLCON must be a function". I wish someone could read the code following, point out the error and show the way to correct it. Thanks a lot.
function f=function_1_2(x)
r0=.02;
sigma=.04;
gamma=5;
delta=.4;
mu0=.06;
N=60;
T=60;
dt=T/N;
R=40;
A0=50;
p=.16;
b=.7;
utility0=0;
asset=A0*ones(1,N+1);
L=A0;
b0=b*ones(1,N+1);
contri=p;
S=0*ones(1,N+1);
r=r0;
mu=mu0;
utility=utility0*ones(1,N+1);
t=0:dt:T;
for j=1:N
S(1,j)=asset(1,j)-L;
contri(1,j)=x(1)-x(2)*S(1,j)/R;
asset(1,j+1)=asset(1,j)+((asset(1,j).*(r+x(3)*(mu-r)))+40*contri(1,j)-15*b0(1,j))*dt+x(2)*sigma*asset(1,j)*sqrt(dt).*randn(1);
if j<R
C(1,j)=ones(1,1)-(contri(1,j)-x(1)*S(1,j)/R);
elseif j>=R & j<=N
C(1,j)=b;
end
utility(1,j+1)=utility(1,j)+exp(-delta*j)*(C(1,j).^(1-gamma))/(1-gamma);
end
f=(-1)*mean(utility(1,N+1))
And the fmincon function is:
clear
clc
%%lower bound
lb=zeros(3,1);lb(2)=.02;
%%upper bound
ub=inf(3,1);ub(2)=1;ub(3)=1;
%%start point
x0=[0,0.02,0];
%%optimize the utility function
[x,fval]=fmincon(@function_1_2,x0,[],[],[],[],[],[],lb,ub)
0 Kommentare
Akzeptierte Antwort
Walter Roberson
am 27 Mär. 2012
The lower bound and upper bound should be the 7th and 8th arguments, but you have them as the 9th and 10th arguments.
Somewhere in there you have two too many []
0 Kommentare
Weitere Antworten (0)
Siehe auch
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!