Unconstrained Maximisation Problem

[truetears]

Hi everyone, essentially my aim is to maximise the unconstrained equation (1) with respect to lambda_i's for i = 0, 1, ..., 10. These lambda_i's can take on any REAL value, including 0. All other variables and functions are defined as follows:

I wish to solve for these lambda_i's in matlab, I have quite a limited knowledge with matlab, however I realise I have to use these three functions:

http://www.mathworks.com/help/stats/multivariate-normal-distribution-1.html

http://www.mathworks.com/help/matlab/optimization.html

http://www.mathworks.com/help/optim/functionlist.html

However due to my limited experience with matlab I am not sure about how to write the code, could anyone please give me a hand?

Any help will be much appreciated!

 

[IRstuff]

And there's nothing in the file exchange section for this?

TTFN
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[truetears]

Hi, sorry what is this file exchange section? I am new to the forums, apologies if this was posted in the wrong place.

 

[IRstuff]

no, on the Mathworks site

TTFN
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[truetears]

Oh I see, I've searched the mathsworks site, there doesn't appear to be anything similar.

 

[IRstuff]

So, you checked out all of these?

http://www.mathworks.com/matlabcent...ibution&term=Multivariate+Normal+Distribution

TTFN
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[FeX32]

Check if your version of Matlab has the "optimization toolbox"
If it does, it is relatively easy to set up your problem.


Fe (IronX32)

 

[truetears]

Yup I do have the optimization toolbox, in fact, I think I've got the code, however the problem is that I've been running it since last night and it still hasn't finished, how do I know when a script has finished running? And how can I make it run faster? The code + data file is attached below:

http://files.engineering.com/getfile.aspx?folder=b9b577b0-1a00-4775-8334-068f041961e2&file=CIMDO.m

http://files.engineering.com/getfile.aspx?folder=34dc0452-0d37-4e58-b942-e9d17607d23f&file=combn.m

http://files.engineering.com/getfile.aspx?folder=a9b74d38-40a8-48bc-8739-5e24ef6e9266&file=ConstLM.m

http://files.engineering.com/getfil...3-42c7-9fe7-20c347bd10f4&file=Data_CIMDO.xlsx

The first 3 files are my codes, last file is the data file.

Many thanks for your help!