Hi, Can someone please elp me to do the following optimization problem unsin FMINCON . I have a hard time writng the function that is used in FMINCON.
Thanks
clc;clear;p=1;a0 = 0.1; a1 = 0.4; epsi=zeros(3000,1);simsig=zeros(3000,1);for i = 1:3000 if (i==1) simsig(i) = a0/(1-a1); s=(simsig(i))^0.5; epsi(i) = normrnd(0,1) * s; elseif (i==2) epsi(i)=epsi(1); else simsig(i) = a0+ a1*(epsi(i-1))^2; s=(simsig(i))^0.5; epsi(i) = normrnd(0,1) * s; endendyt1=epsi.^2;ytinitial=yt1(2001:3000);y=yt1(2001:3000);len = length(ytinitial);C = zeros(len,p+1);C(:,1) = 1; %The first column is for a0
for i = 1:p %Then create shifted columns ( p in number ) for a
C(1+i:len,1+i) = y(1:len-i,1); endoptions =optimset('Display','off','LargeScale','off');coef = lsqlin(C,ytinitial,[0 1],1,[],[],[0;0],[1;1],[],options);alpha0 =coef(1);ar1=coef(2);
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