MATLAB: Matlab doesn’t calibrate via lsqnonlin when initial values depart from the actual parameters

breakbusycalibrationconvergence

Hi guys,

I have written a program that calibrates two parameters from the option prices. I have simulated 10 option prices for known parameters and now try to check my calibration function.

If I set initial values of the paramters close to the actual one (the difference is not more that 0.4) then it calibrates the right parameters in 4 seconds. When I set the initial values slightly different from the initial (e.g. I set it equal to 2 when actual is 1), or when I change the upper and lower bounds and run the calibration, matlab calibration doesn't converge – it is always busy and I have to kill the process. ( I even left it for 1 night, the result was still "busy")

Please help me, changing the accuracy and number of function evaluation doesn't help!

Best Answer

It sounds like you have a highly ill-conditioned problem which could be slowing convergence. The non-differentiability menationed in my Comment above might also be a factor.

Because it's only a 2-variable problem, you can probably investigate what's going on by making a surf() plot of the objective function (the squared residual) and see if it's shaped funny.

It might also help to terminate the algorithm early, using MaxIterations or similar, and seeing where it's getting stuck. Then, look for this location on the surf plot and see if the local shape of the surface is behaving oddly there.

Related Solutions

MATLAB: Symbolic integral inside a numerical one. How to program it

If you are deriving a(u) and b(s) symbolically then you will need to convert them into matlab functions before you use them for numerical computations:

Here's an example:

syms x
y = x^2
yFun = matlabFunction(y)
integral(yFun,0,1)

Here's the documentation for matlabFunction:

http://www.mathworks.com/help/symbolic/matlabfunction.html

MATLAB: Hiii all, i am trying to minimize the problem n want to get the plot…program is getting minimized but plot is not coming… m sending program also n the expected plot image also….plzzz plzzz plzzz do help

For the first u (at least), energy(0,-10^100,0,0,0) is -inf, so the search is unbounded.

Best Answer

Related Solutions

MATLAB: Symbolic integral inside a numerical one. How to program it

MATLAB: Hiii all, i am trying to minimize the problem n want to get the plot…program is getting minimized but plot is not coming… m sending program also n the expected plot image also….plzzz plzzz plzzz do help

Related Question