[SciPy-User] fmin_bfgs failing on simple problem

John Salvatier jsalvati@u.washington....
Tue Apr 17 13:56:57 CDT 2012


Hmm, that's too bad. Looks like there was a big refactoring of
linesearch.py (
https://github.com/scipy/scipy/blob/master/scipy/optimize/linesearch.py ) a
couple of years ago (
https://github.com/scipy/scipy/commit/fefef2d73200d535b95ce0f21dcfe122301a967d
 )

Thanks for the help Nathaniel :)

On Tue, Apr 17, 2012 at 11:16 AM, Nathaniel Smith <njs@pobox.com> wrote:

> On Tue, Apr 17, 2012 at 7:14 PM, John Salvatier
> <jsalvati@u.washington.edu> wrote:
> > Well that's good news. I have scipy .9.0b1, what version do you have?
>
> Less good news: I have 0.8.0 :-)
>
> - N
>
> > On Tue, Apr 17, 2012 at 11:13 AM, Nathaniel Smith <njs@pobox.com> wrote:
> >>
> >> On Tue, Apr 17, 2012 at 6:35 PM, John Salvatier
> >> <jsalvati@u.washington.edu> wrote:
> >> > Hi all!
> >> >
> >> > I am having a problem with the fmin_bfgs solver that's surprising to
> me.
> >> > Here's the toy problem I've set up:
> >> >
> >> > from scipy.optimize import fmin_bfgs, fmin_ncg
> >> > from numpy import *
> >> > import numpy as np
> >> >
> >> > def f(x ):
> >> >     if x < 0:
> >> >         return 1.79769313e+308
> >> >     else :
> >> >         return x + 1./x
> >> >
> >> >
> >> > xs = fmin_bfgs(f, array( [10.]), retall = True)
> >> >
> >> > The solver returns [nan] as the solution.
> >> >
> >> > The problem is designed to be stiff: between 0 and 1, it slopes upward
> >> > to
> >> > infinity but between 1 and infinity, it slopes up at a slope of 1.
> Left
> >> > of 0
> >> > the function has a "nearly infinite" value. If bfgs encounters  a
> value
> >> > that's larger than the current value, it should try a different step
> >> > size,
> >> > no? Why does fmin_bfgs fail in this way?
> >>
> >> I can't reproduce this (on my computer it converges to 0.99999992),
> >> but have you tried making that < into a <=? The divide-by-zero at f(0)
> >> might be making it freak out.
> >>
> >> -- Nathaniel
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> >
> >
> >
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