[SciPy-User] optimize.fmin_cg terminates when w - grad*1e-10 yields lower obj & grad
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:
On Mon, Oct 5, 2009 at 4:55 PM, Jason Rennie <firstname.lastname@example.org> 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
> On Mon, Oct 5, 2009 at 4:33 PM, <email@example.com> wrote:
>> On Mon, Oct 5, 2009 at 4:11 PM, Jason Rennie <firstname.lastname@example.org> 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
>> > value.
>> > Would someone mind sanity-checking this assertion? Is it possible
>> > for minpack2.dcsrch to return a step which yields a negative objective?
>> > seeing it when the amin value is hit. I.e. it's returning a step size
>> > 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':
>> > --
>> > 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
>> SciPy-User mailing list
> Jason Rennie
> Research Scientist, ITA Software
Research Scientist, ITA Software
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