Fmincon Lower Bound issues

Dear Community,

I am using the fmincon command for optimization of a Term structure model. I know that all parameters are constrained below by zero and some results suggest that some are in fact zero. When I now use the fmincon command for optimization, MATLAB sets all parameters for which I supply a zero starting value equal to 0.99. Furthermore, all values which are below 1e-04 also get set to a value of 0.99. Does anyone know why this occurs, as the initial values to not violate the lower bound if they are set equal to zero and certainly not the close to zero values.

Thank you very much!!

[Walter Roberson]

We will probably need your code for testing.

[Oliver Krek]

I have uploaded all code files used. The file with the name FiltPapPara is the script and the others are the functions.

Thanks

Answer 1

[Alan Weiss]

By default, fmincon uses the 'interior-point' algorithm, which strictly stays away from bounds. If you want results exactly at the bounds, then I suggest that you use the 'sqp' algorithm. Set the algorithm using the Algorithm option.

Alan Weiss

MATLAB mathematical toolbox documentation

[Oliver Krek]

Thank you very much!!!