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Thread Subject:
use fminsearch and fmincon in estimating mle

Subject: use fminsearch and fmincon in estimating mle

From: Lizzy

Date: 14 Dec, 2012 00:00:11

Message: 1 of 2

Hi,
I'm trying to estimate some coefficients and sigma in a MLE function, the density of which is normal. I guess the sigma is around 9. I set the initial value of sigma to be 9.
But when I use fminsearch, the result is very different from when I use fmincon, when I give a constraint that sigma>0.000000001, even though with same initial value of sigma. Can anyone please explain why it is like that?

Subject: use fminsearch and fmincon in estimating mle

From: Alan_Weiss

Date: 14 Dec, 2012 14:55:28

Message: 2 of 2

On 12/13/2012 7:00 PM, Lizzy wrote:
> Hi,
> I'm trying to estimate some coefficients and sigma in a MLE function,
> the density of which is normal. I guess the sigma is around 9. I set
> the initial value of sigma to be 9.
> But when I use fminsearch, the result is very different from when I
> use fmincon, when I give a constraint that sigma>0.000000001, even
> though with same initial value of sigma. Can anyone please explain why
> it is like that?

Many MLE problems have multiple local optima. The two algorithms are
very different, so it is not at all surprising that they arrive at two
different local optima when started from the same point. I would expect
that they will arrive at the same set of local optima when started from
a variety of initial points.

Alan Weiss
MATLAB mathematical toolbox documentation

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