I was wondering if those who used the entropy pooling code provided by Attilio Meucci had issues with the optimization procedure (especially regarding the fminunc function in Matlab). When I stress for example the expectation and the volatility, I get weird results for some stress values
and the following warning:
Local minimum possible:
fminunc stopped because the final change in function value relative to
its initial value is less than the selected value of the function tolerance.
How can one deal with this ?
For information, the image represents a stock price distribution with stress values 100 for expectation and 20 for volatility, prior in blue, posterior in red.