From: <HIDDEN>
Newsgroups: comp.soft-sys.matlab
Subject: Re: use fminsearch and fmincon to find MLE
Date: Fri, 14 Dec 2012 00:25:19 +0000 (UTC)
Organization: Xoran Technologies
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"Lizzy " <> wrote in message <kadqg5$ehk$>...
> Hi,
> I'm trying to estimate coefficients and sigma in a MLE function. I guess sigma is around 9. But when I use fminsearch, the result is very different from when I use fmincon, constrainted sigma to be larger than 0.0000000001, even though I set the same initial value to sigma (set as 9). Can anyone please explain to me why it is like this?

A few ideas,

(1) You're running a constrained optimization with FMINCON but an unconstrained optimization with FMINSEARCH. So, why shouldn't their results be different?

(2) FMINSEARCH uses a heuristic algorithm, not gaurnateed to converge except for problems with a single unknown. Conversely, FMINCON uses algorithms which are more robustly convergent in multi-variable problems. How many unknowns do you have?

(3) What reason do we have to believe the solution is unique?