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From: Samuel Edwards on 27 Jul 2010 18:40
Sorry if that was unclear, the objective function m-file takes 1/variance as the input, but i define an anonymous function that takes s.d. as an input and feed this to the solver. In retrospect this information was irrelevant.

"Matt J " <mattjacREMOVE(a)THISieee.spam> wrote in message <i2nk6k$k6b$1(a)fred.mathworks.com>...
> "Samuel Edwards" <DJeter1234(a)AOL.com> wrote in message <i2nauv$bfo$1(a)fred.mathworks.com>...
> > I am running a least squares minimization with fmincon to solve a least squares problem. Essentially, a 5-tuple of parameters maps to an 8-tuple of percentages. The parameters are of the form (mean, 1/variance1, 1/variance2, 1/variance3, constant scaled to mean). Unfortunately, it seems that the sum of squares function is very flat around the minimum over a pretty big range of variance1,2,3 and constant.
> ========
>
> In addition to my last point, is there a reason that you are parametrizing using
> 1/variance instead of the variance, or better yet the standard deviation, itself? By taking 1/x, you are diminishing the sensitivity of the objective function to variations in x when x is large. This could easily contribute to scaling problems.
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