fmincon with constraints on eigenvalues
4 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Hello everybody, I need to perform an optimization on matlab, I'm using fminsearch, but I realized that I need to put some constraints on a part of the parameter vector.
my parameter vector size is 20*1, I need the matrix :
K= Vec2mat(param(1:9),3) to have eigenvalues with positive real parts.
I wrote: [param, ML] = fmincon(@(param) Myfct(param,maturity,Data),param0,[],[],[],[],[],[],@Myconstr, options)
with the function Myconstr being:
function [c,ceq] = Myconstr(x) c = -real(eig(vec2mat(x(1:9),3)))'; ceq=[]; end
but it doesn't seem to work. Appreciate any help.
Thanks
5 Kommentare
Antworten (1)
Matt J
am 3 Mär. 2013
Bearbeitet: Matt J
am 3 Mär. 2013
As Shashank said, we need to see KalmanFilterCorr to know what's going on, but it looks like you have reached values for params(1:9) that are not finite and therefore EIG complains.
Using the DBSTOP command ("dbstop if naninf") will force MATLAB to pause execution at the point in the code where nan/inf values for params are generated. Then you can see what's going on.
0 Kommentare
Siehe auch
Kategorien
Mehr zu Math Operations finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!