基于matlab的自定义最大似然函数的求参方法

本文链接：https://blog.csdn.net/weixin_43948357/article/details/106037695

1.已知对数似然函数，利用fminunc函数搜索极值。^【1】

function [ll] = neg_loglike(theta,Y,X)  %定义neg_loglike.m方程
  mu = X*theta(1:2);
  ll = -1*sum(log(normpdf(Y,mu,theta(3))));  %fminunc默认求最小值，调整
end

%% 假设每次观测独立,代入f(观测|参数)数据。
data = csvread('/tmp/data.csv');  

X = data(:,[3 1]);
Y = data(:,2);

% Optimization设置，详见help
opt = optimset('GradObj','off',...
	       'Hessian','off',...
	       'LargeScale','off',...
	       'Display','off',...
	       'MaxIter', 100000,...
	       'MaxFunEvals', 1000000, ...
	       'TolFun', 1.000e-006,...
	       'TolX', 1.000e-006,...
	       'FunValCheck','off',...
	       'DerivativeCheck','off',...
	       'Diagnostics','off',...
	       'Algorithm','trust-region-reflective');

% 设置初始值，求解
theta_start=.5*ones(size(X,2)+1,1);
[theta,fval,flag,out,grad,hess] = fminunc(@(theta) neg_loglike(theta,Y,X),theta_start, opt);
se = sqrt(diag(inv(hess)));

ans = [theta se]

2.已知对数似然函数，利用fminsearch函数搜索极值。^【2】

相似度，matlab代码见参考文献【2】.

function ml = t_var(param)
rng default;
data = random('norm',0,1,[400,1]);
z = (data - param(1)) ./ param(2);
L = -.5.*z.*z - log(sqrt(2.*pi).*param(2));
ml = -sum(numel(data).*L);
end

x0 =[0 0]
[x,fval] = fminsearch(@t_var,x0,optimset('TolX',1e-19,'MaxFunEvals',1000,'MaxIter',1000))