Error with fmincon- too many input arguments

Hello, could you please help me solve with this question. I have build a function to calculate the likelihood function of a heston model.

function [ vix_likelihood_heston ] = likelihood_heston(vix, para_heston )
%Calculate the likelihood function of vix model using heston model 
n = length(vix);
L = zeros(n,1);
c = zeros(n,1);
u = zeros(n,1);
v = zeros(n,1);
J = zeros(n,1);
mu = zeros(n,1);
for i = 1:n
  c(i) = (2*para_heston(1))/(para_heston(3)*(1 - exp ( - para_heston(1)* (vix(i,7)/360))));
  u(i) = c(i) * vix(i,8) * exp(- para_heston(1) * (vix(i,7)/360));
  v(i) = c(i) * vix(i,9);
  q = (2 * para_heston(1) * para_heston(2)/(para_heston(3)^2))-1;
  mu(i) = sqrt(4*u(i)*v(i));
  J(i) = besselj(q,mu(i));
  L(i) = log(c(i)*exp(-u(i)-v(i))*((v(i)/u(i))^(q/2))*J(i)); 
end
vix_likelihood_heston = -sum(L);
end

I have test the function with initial parameters and it did return the value.

When I try to use the fmincon:

para_hes = fminsearch(@likelihood_heston,para0_hes,[],[],[],[],vix_in);

It shows the error:

 Error using likelihood_heston
 Too many input arguments.

Error in fminsearch (line 200) fv(:,1) = funfcn(x,varargin{:});

My function is attached.

I want to ask how to solve this problem?

Many thanks

Answer 1

[Stephan]

Hi,

you want to use fmincon - which accepts the inputs:

x = fmincon(fun,x0,A,b)
x = fmincon(fun,x0,A,b,Aeq,beq)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon,options)

what could even work with your code, if you would not use fminsearch instead, which only accepts the inputs:

x = fminsearch(fun,x0)
x = fminsearch(fun,x0,options)
x = fminsearch(problem)

Since you work with this input:

para_hes = fminsearch(@likelihood_heston,para0_hes,[],[],[],[],vix_in);

it is a normal thing, that fminsearch doesnt like this.

Best regards

Stephan