Hi everyone,
I have been using the code from Marcucci (2005) on MRSGARCH models, but I keep getting an error in the garchestfor_con_all.m file.
This code works on matlab version up to 2010, but im using 2016b. I know that the this code needs to be changed, but I cant figure out how to do this without causing any errors further in the fmincon function.
options = optimset(options , 'TolFun' , 1e-6);
options = optimset(options , 'TolX' , 1e-6);
options = optimset(options , 'TolCon' , 1e-6);
options = optimset(options , 'Display' , 'iter');
options = optimset(options , 'Diagnostics' , 'on');
options = optimset(options , 'LargeScale' , 'off');
options = optimset(options , 'MaxIter' , 2500);
options = optimset(options , 'HessUpdate' ,'bfgs');
ERROR HERE options = optimset(options, 'levenberg-marquardt', 'off');
ERROR HERE: options = optimset(options , 'LineSearchType' ,'cubicpoly');
options = optimset(options , 'Jacobian' ,'off');
options = optimset(options , 'MeritFunction' ,'multiobj');
options = optimset(options, 'MaxFunEvals' , 1000);
I have tried the following lines for the levenberg-marquardt line:
- options = optimoptions(@fsolve,'Algorithm','levenberg-marquardt','InitDamping',0.1);
However, because I used optimoptions now instead of optimset the options variable couldn't be changed again by optimset
- options = optimset(options, 'Algorithm', 'levenberg-marquardt', 'Jacobian', 'off');
With this line I received an error further down the code in the fmincon function: 'Invalid choice of option Algorithm for FMINCON. Choose 'sqp', 'interior-point', 'trust-region-reflective', or 'active-set'.
For the LineSearchType line, I haven't been able to find a solution.
FMINCON function:
[parameters, LL(j,1)] = fmincon('garchlik', x0 ,A, b, [],[],lowerBounds, upperBounds, [], options, data, errortype, garchtype, constr, flag1);
How can I rewrite this code, such that the fmincon function still runs properly?
Thanks in advance!
