constrained maximum likelihood matlab code
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Hi,
I would like to convert a GAUSS code using the CML liberary (constrained maximum likelihood) into Matlab code but I can't find the corresponding fonction in Matlab (The only one I've found is MLE)
I need some help please
Thanks
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Answers (1)
Tom Lane
on 10 Apr 2012
If you have the Optimization Toolbox, type "help fmincon." It does general minimization with constraints. You supply the negative likelihood or log-likelihood function for the problem you're trying to solve.
If you have only the Statistics Toolbox, there is no general-purpose constrained optimization function available. You can sometimes reformulate a problem to get rid of the constraints, but not always.
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