[Scipy-tickets] [SciPy] #734: errors in fmin_bfgs and some improvements
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Mon Nov 15 07:18:11 CST 2010
#734: errors in fmin_bfgs and some improvements
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Reporter: jgarcke | Owner: cdavid
Type: defect | Status: needs_review
Priority: normal | Milestone: 0.9.0
Component: scipy.optimize | Version: 0.5.2
Keywords: |
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Comment(by jgarcke):
I took 1e-6 since it is the default option here:
http://www2.imm.dtu.dk/~hbn/Software/quasi_newton.m
default value : opts(1:6) = [2 2 1 1e-4*||g(x0)||_inf 1e-6 100]
the fifth one is relevant here.
But then, it probably should be an option in the function call with the
default set to 1e-6.
Test as in a numerical example that this works ? And works better with
this change ?
Not really, I had problems with this inside a programm I had and didn't go
down to a simple example because there it often enough works in the
current form. And I can't easily extract the part where the minimisation
happens since it depends on the whole part of the software.
And I later used a different algorithm anyway:
ALGORITHM 611, COLLECTED ALGORITHMS FROM ACM.
ALGORITHM APPEARED IN ACM-TRANS. MATH. SOFTWARE, VOL.9, NO. 4,
DEC., 1983, P. 503-524.
http://calgo.acm.org/611.gz
where I used f2py and a wrapper routine in python.
That one was more robust and faster than the python one.
If interested I can give my python wrapper for that one.
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Ticket URL: <http://projects.scipy.org/scipy/ticket/734#comment:5>
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