How can I use fmincon in the mle function?

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Richard on 13 Sep 2012
I am trying to use the mle function with constraints on the parameters. According to the matlab help you can choose between fminsearch (default) and fmincon (as long as you have the Optimization Toolbox) using 'optimfun'. The issue is it doesn't say how you set constraints when using fmincon instead of fminsearch.
This is the command line I am running in matlab
[para ci] = mle(D,'pdf',@Skellam_pdf,'start',[1,.5,.2,-.2],'optimfun','fmincon')
It still generally finds a solution but the parameters rarely, if ever, satisfy the constraints. I'm not sure if it is possible to add constraints(as I haven't been to find a way) but it seems unlikely that matlab wouldn't have included this in the mle function.

Answers (1)

Edward Umpfenbach
Edward Umpfenbach on 13 Sep 2012
Simple answer. Type:
help fmincon
It contains all the info for fmincon and some simple examples. Don't see a need to repeat it.
If something isn't clear in the help, then say so. Supply MLE as an anonymous function to fmincon.
  1 Comment
Richard on 13 Sep 2012
Thanks. I will read up about fmincon now. Just to clarify when you say I should "supply MLE as an anonymous function to fmincon", should I attempt something like,
x = fmincon(@fun_mle,x0,[],[],Aeq,beq)
function F = fun_mle(data)
params = mle(data,'pdf',@Skellam_pdf,'start',[1,.5,.2,-.2]);
F = Skellam_loglf(params);
Is that correct?

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