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From: yan zhong on 6 Apr 2010 15:47
Hi,
I try to estimate the parameters of a short-term interest rate model (with garch & jump in the process) by using fmincon to optimize my log-likelihood. The total parameters need to estimate is quite large (9 in total). There is also one linear inequality constraint for garch parameters. I supplied gradient and use BFGS updating scheme for Hessian, the used options as follows:
options = optimset('LargeScale' , 'on');
options = optimset(options,'Algorithm','interior-point');
options = optimset(options,'AlwaysHonorConstraints','none');
options = optimset(options,'DerivativeCheck','on');
options = optimset(options,'Display','iter');
options = optimset(options,'FunValCheck','on');
options = optimset(options,'GradObj','on');
options = optimset(options,'Hessian','bfgs');
options = optimset(options,'MaxFunEvals' , 1e+7);
options = optimset(options,'MaxIter' , 1e+7);
options = optimset(options,'TolFun',1e-6);

However, the error msg came back as:
??? Error using ==> linear_drift_level_garch_JumpObj
Too many input arguments.

Error in ==> optimfcnchk>checkfun at 355
[f,g] = userfcn(x,varargin{:});

Error in ==> fmincon at 526
[initVals.f,initVals.g(:)] = funfcn{3}(X,varargin{:});

Caused by:
Failure in initial user-supplied objective function evaluation. FMINCON cannot continue.

I check my objective function and gradient, they look ok. I do not know why cause such problem.

Any help will be truly approciated!

Yan
From: Steven Lord on 6 Apr 2010 17:48

"yan zhong" <yanp.zhong(a)gmail.com> wrote in message
news:hpg347$807$1(a)fred.mathworks.com...
> Hi,
> I try to estimate the parameters of a short-term interest rate model (with
> garch & jump in the process) by using fmincon to optimize my
> log-likelihood. The total parameters need to estimate is quite large (9 in
> total). There is also one linear inequality constraint for garch
> parameters. I supplied gradient and use BFGS updating scheme for Hessian,
> the used options as follows:

*snip*

> However, the error msg came back as:
> ??? Error using ==> linear_drift_level_garch_JumpObj
> Too many input arguments.

You showed the group a bunch of code -- except for the objective function
signature and how you call FMINCON using your objective function, which are
the two most important pieces of code!

--
Steve Lord
slord(a)mathworks.com
comp.soft-sys.matlab (CSSM) FAQ: http://matlabwiki.mathworks.com/MATLAB_FAQ


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