[Scipy-tickets] [SciPy] #734: errors in fmin_bfgs and some improvements

SciPy Trac scipy-tickets@scipy....
Mon Nov 15 07:18:11 CST 2010


#734: errors in fmin_bfgs and some improvements
----------------------------+-----------------------------------------------
 Reporter:  jgarcke         |       Owner:  cdavid      
     Type:  defect          |      Status:  needs_review
 Priority:  normal          |   Milestone:  0.9.0       
Component:  scipy.optimize  |     Version:  0.5.2       
 Keywords:                  |  
----------------------------+-----------------------------------------------

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.

-- 
Ticket URL: <http://projects.scipy.org/scipy/ticket/734#comment:5>
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