fmincon with constraints on eigenvalues
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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
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Matt J
le 3 Mar 2013
Modifié(e) : Matt J
le 3 Mar 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.
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