約束fmincon MATLAB

Question

我想在MATLAB中使用fmincon函數來獲取4個變量的值。我得到一個警告：

Local minimum possible. Constraints satisfied. 

fmincon stopped because the size of the current search direction is less than 
twice the default value of the step size tolerance and constraints are 
satisfied to within the selected value of the constraint tolerance. 

<stopping criteria details> 

Optimization stopped because the norm of the current search direction, 6.854643e-07, 
is less than 2*options.TolX = 1.000000e-06, and the maximum constraint 
violation, -3.940985e-05, is less than options.TolCon = 1.000000e-15. 

Optimization Metric            Options 
norm(search direction) = 6.85e-07      TolX = 1e-06 (default) 
max(constraint violation) = -3.94e-05     TolCon = 1e-15 (selected) 

我試圖從1E-6的周圍改變TolFun和TolCon到1E-10，但我仍然得到了同樣的信息。是否有任何其他方式可以使其趨於一致

My code: 
A = [1, 1, 0, 0]; 
b = 1; 
lb = [0; 0; 0; 0]; 
ub = [1; 1; 1; 1]; 
Aeq = []; 
beq = []; 
noncoln = []; 
init_guess = [.03;.93; long_term_sigma; initial_sigma]; 
%option = optimset('FunValCheck', 1000); 
options = optimset('fmincon'); 
options = optimset(options, 'MaxFunEvals', 1000, 'MaxIter', 1000, 'Algorithm', 'active-set', 'TolCon', 1e-15, 'TolFun', 1e-15); 
func = @(theta)Log_likeli(theta, ret_1000); 
%[x, maxim] = fminsearch(@(theta)Log_likeli(theta, ret_1000), init_guess, options); 
[x, maxim] = fmincon(func, init_guess, A, b, Aeq, beq, lb, ub, noncoln, options); 

Answer 1

您的問題有九個約束。也許你的問題可以被強制簡化爲五個約束，如果你使theta_i = exp（x_i）並用所有地方的這個新變量代替theta_i。因此，您已經消除了積極性約束，並且新問題取決於x_i（x_i是您的新變量）。好的....你找到x_i的最優值並計算theta_i = exp（x_i）。當您處理差異或波動的情況時，這在計量經濟學中是非常普遍的替代。使y = exp（x）/（1 + exp（x））[邏輯運算（logistic）功能]。現在你的問題要容易得多，因爲它只有一個約束（由A和b給出），並遵循上面的相同過程。