[SciPy-User] ftol and xtol

GRBChaser abeardmore@gmail....
Fri Jul 5 06:38:43 CDT 2013


On the subject of ftol and xtol,  the  help for fmin describes these
parameters as :

    xtol : float
        Relative error in xopt acceptable for convergence.
    ftol : number
        Relative error in func(xopt) acceptable for convergence.


The use of the word "Relative" here has always implied to me that the
convergence tests calculated by fmin refer to fractional changes in
parameters or function values. However, I had difficulties trying to
minimize a function in which the two parameters defer by many orders or
magnitude (e.g. 1 and 1e10) and I've come to the conclusion it is because
the large parameter never passes the convergence test.

The code in fmin which tests for convergence is :

        if (max(numpy.ravel(abs(sim[1:]-sim[0]))) <= xtol \
            and max(abs(fsim[0]-fsim[1:])) <= ftol):
            break

This does not look like a test for the relative change in parameters or
function values to me, but rather a test for their absolute changes. A
relative change would surely be something like

        if (max(numpy.ravel(abs((sim[1:]-sim[0])/sim[0]))) <= xtol \
            and max(abs((fsim[0]-fsim[1:])/fsim[0])) <= ftol):
            break

(though care should really be taken for possible divide by zero errors).


Either the docstring needs changing so "Relative" is replaced with
"Absolute" to make it clear, or the convergence test needs to be changed so
it truly is a relative error test.





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