[SciPy-User] fmin_slsqp exit mode 8

josef.pktd@gmai... josef.pktd@gmai...
Fri Sep 28 12:41:10 CDT 2012


On Fri, Sep 28, 2012 at 1:04 PM, Gilles Rochefort
<gilles.rochefort@gmail.com> wrote:
> Could you provide an example that produce such a mode ?

It will not be easy or possible to get the example standalone

The example is a L1 penalized maximum likelihood estimation for a
poisson regression
https://github.com/statsmodels/statsmodels/pull/465/files#L2R94

the slsqp part is here
https://github.com/statsmodels/statsmodels/pull/465/files#diff-7

The full code for this is spread over 3 classes (using inheritance)
(or 5 counting all class inheritance levels)

fmin_slsqp works pretty well for Logit, Probit and Multinomial Logit,
but for Poisson with a large regularization parameter, we get exit
code 8. The optimized values also look reasonable in that case.

(the pull request will be merged within a few days.)

Josef

>
> Regards,
> Gilles.
>
>> in statsmodels we  have a case where fmin_slsqp ends with mode=8
>> "POSITIVE DIRECTIONAL DERIVATIVE FOR LINESEARCH"
>>
>> Does anyone know what it means and whether it's possible to get around it?
>>
>> the fortran source file doesn't have an explanation.
>>
>> Thanks,
>>
>> Josef
>> _______________________________________________
>> SciPy-User mailing list
>> SciPy-User@scipy.org
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>


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