I used the fmincon, but always wrong
xi=1;CAQL=1.33;CLTPD=1;b1=3*CAQL+abs(xi); b2=3*CLTPD+abs(xi);alpha=0.01;beta=0.01;fun=@(n) 0;x0=[10,1];nonlcon=@CAQL_CLTPD;a=fmincon(fun,x0,[],[],[],[],[],[],nonlcon);
function:
function [c,ceq] = CAQL_CLTPDy=@(x,t) normpdf(t+xi*sqrt(x(1)))+normpdf(t-xi*sqrt(x(1)));g1=@(x,t) chi2cdf(((x(1)-1)*((b1*sqrt(x(1))-t).^2)./(9*x(1)*x(2)^2)),x(1)-1).*y(x,t);g2=@(x,t) chi2cdf(((x(1)-1)*((b2*sqrt(x(1))-t).^2)./(9*x(1)*x(2)^2)),x(1)-1).*y(x,t);c{1} = @(x) -(integral(@(t) g1(x,t),0,3*b1*sqrt(x(1)))-(1-alpha)); % CAQL
c{2} = @(x) (integral(@(t) g2(x,t),0,3*b2*sqrt(x(1)))-beta); % CLTPD
ceq = [];
the error message:
Error using CAQL_CLTPDToo many input arguments.Error in fmincon (line 639) [ctmp,ceqtmp] = feval(confcn{3},X,varargin{:});Error in Untitled (line 11)a=fmincon(fun,x0,[],[],[],[],[],[],nonlcon);Caused by: Failure in initial nonlinear constraint function evaluation. FMINCON cannot continue.
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