optimization problem in KF and MLE for state-space model
in [Matlab]
|
Prev: what the square brackets or box brackets [] means in this case?
Next: optimization problem in KF and MLE for state-space model
From: Jenny Yin on 16 Jan 2010 12:59 Hi, everyone, I have some problem on the optimization during the maximun likelihood estimation for state-space model via Kalman filter. There are around 100 parameters to estimate. 1. fminsearch works, even it is very slow. 2. fminunc, cannot work. It always stops by the error of the covariance matrix of state vector is almost singular. Since the number of parameters is large, I am worrying about whether fminsearch can search the nice results. Is anyone who also have met the problem of the singularity problem of state vector covariance matrix? why fminsearch does not stop by the error of of the covariance matrix of state vector is almost singular? Thanks very much. |