[SciPy-User] optimize.fmin_cg terminates when w - grad*1e-10 yields lower obj & grad

Jason Rennie jrennie@gmail....
Mon Oct 5 17:32:02 CDT 2009


Setting amin in linesearch.line_search() to a smaller value (I tried 1e-12)
seems to be a hack workaround for the zoom() issue (since it almost never
falls-through to the (old?) optimize.line_search() method).  But, I'm
wondering: has Johnathan Shewchuk's "Preconditioned Nonlinear Conjugate
Gradients with Secant and Polak-Ribiere" (pg. 53/59 of his tutorial) been
considered?  I used this as the basis for a CG Matlab implementation for my
thesis work and it handled a very large problem (million+ params) nicely
once I worked out the numerical issues (it's amazing how much work is
involved in turning such detailed psuedocode into a solid implementation!).
 Link to the paper:
http://www.cs.cmu.edu/~quake-papers/painless-conjugate-gradient.pdf

Jason


On Mon, Oct 5, 2009 at 4:55 PM, Jason Rennie <jrennie@gmail.com> wrote:

> Looks like optimize.zoom() is also buggy in that it will return a step size
> corresponding to an increased objective if it can't find a step in maxiter
> iterations.
> Jason
>
>
> On Mon, Oct 5, 2009 at 4:33 PM, <josef.pktd@gmail.com> wrote:
>
>> On Mon, Oct 5, 2009 at 4:11 PM, Jason Rennie <jrennie@gmail.com> wrote:
>> > The bug seems to be that scipy.optimize.linesearch.line_search can
>> return a
>> > step size which increases the objective.  Later linesearches are then
>> > fubar'd b/c the (phi0-old_old_fval)/derphi0 calculation yields a
>> negative
>> > value.
>> > Would someone mind sanity-checking this assertion?  Is it possible
>> > for minpack2.dcsrch to return a step which yields a negative objective?
>>  I'm
>> > seeing it when the amin value is hit.  I.e. it's returning a step size
>> of
>> > 1e-8.
>> > Thanks,
>> > Jason
>>
>> bug candidate: linesearch doesn't honor warn
>>
>> Has fortran 0 or 1 based indexing?
>>
>> I think task[1:4] == 'WARN':
>> should instead be
>>
>> task[:4] == 'WARN':
>>
>>
>> Josef
>>
>>
>>
>> >
>> > --
>> > Jason Rennie
>> > Research Scientist, ITA Software
>> > 617-714-2645
>> > http://www.itasoftware.com/
>> >
>> >
>> > _______________________________________________
>> > SciPy-User mailing list
>> > SciPy-User@scipy.org
>> > http://mail.scipy.org/mailman/listinfo/scipy-user
>> >
>> >
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>
>
>
> --
> Jason Rennie
> Research Scientist, ITA Software
> 617-714-2645
> http://www.itasoftware.com/
>
>


-- 
Jason Rennie
Research Scientist, ITA Software
617-714-2645
http://www.itasoftware.com/
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