[SciPy-User] fmin_bfgs stuck in infinite loop
Johann Cohen-Tanugi
johann.cohentanugi@gmail....
Mon Oct 24 13:39:35 CDT 2011
Dear Josef
On 10/24/2011 07:58 PM, josef.pktd@gmail.com wrote:
> On Mon, Oct 24, 2011 at 1:56 PM,<josef.pktd@gmail.com> wrote:
>> On Mon, Oct 24, 2011 at 1:50 PM, Johann Cohen-Tanugi
>> <johann.cohentanugi@gmail.com> wrote:
>>> Hello,
>>> the OP is a colleague of mine and I looked quickly at the code. The infinite
>>> loop in the OP's illustrating script comes from the "while 1" loop in l.144
>>> of linesearch.py : becuse phi0 is np.nan, phi1 is returned as np.nan as
>>> well, and the break condition is never met. There is an easy fix :
>>> while 1:
>>> stp, phi1, derphi1, task = minpack2.dcsrch(alpha1, phi1, derphi1,
>>> c1, c2, xtol, task,
>>> amin, amax, isave, dsave)
>>> if task[:2] == asbytes('FG') and not np.isnan(phi1):
>>> alpha1 = stp
>>> phi1 = phi(stp)
>>> derphi1 = derphi(stp)
>>> else:
>>> break
>>>
>>> but it is not a nice kludge.... Is there a better way to secure this while 1
>>> loop? I am sure I am not covering all possible pathological cases with
>>> adding "not np.isnan(phi1)" in the code above.
>> Is this still a problem with 0.10 ?
>> I thought this fixed it, https://github.com/scipy/scipy/commit/a31acbf
Well I am a complete newby with github, but I think I went to the head
of master before testing, and the problem is still there. I can see the
code snippet from https://github.com/scipy/scipy/commit/a31acbf in my
local copy, and this is testing against +/-inf, not nan. Changing the
OP's code to test against inf yields :
In [1]: run test_bgfs.py
/home/cohen/sources/python/scipydev/lib/python2.6/site-packages/scipy/optimize/optimize.py:303:
RuntimeWarning: invalid value encountered in subtract
if (max(numpy.ravel(abs(sim[1:] - sim[0]))) <= xtol \
/home/cohen/sources/python/scipydev/lib/python2.6/site-packages/scipy/optimize/optimize.py:308:
RuntimeWarning: invalid value encountered in subtract
xr = (1 + rho)*xbar - rho*sim[-1]
/home/cohen/sources/python/scipydev/lib/python2.6/site-packages/scipy/optimize/optimize.py:350:
RuntimeWarning: invalid value encountered in subtract
sim[j] = sim[0] + sigma*(sim[j] - sim[0])
fmin works [ inf]
/home/cohen/sources/python/scipydev/lib/python2.6/site-packages/scipy/optimize/linesearch.py:132:
RuntimeWarning: invalid value encountered in subtract
alpha1 = min(1.0, 1.01*2*(phi0 - old_phi0)/derphi0)
/home/cohen/sources/python/scipydev/lib/python2.6/site-packages/scipy/optimize/linesearch.py:308:
RuntimeWarning: invalid value encountered in subtract
alpha1 = min(1.0, 1.01*2*(phi0 - old_phi0)/derphi0)
/home/cohen/sources/python/scipydev/lib/python2.6/site-packages/scipy/optimize/linesearch.py:417:
RuntimeWarning: invalid value encountered in subtract
B = (fb-D-C*db)/(db*db)
fmin_bfgs gets stuck in a loop [ nan]
so it looks like your code solves the inf situation, but not the nan.
> Is http://projects.scipy.org/scipy/ticket/1542 the same?
yes it looks like a duplicate
> josef
>
>> Josef
>>
>>
>>> thoughts?
>>> Johann
>>>
>>> On 08/14/2011 01:38 AM, b9o2jnbm tsd71eam wrote:
>>>
>>> I have run into a frustrating problem where scipy.optimize.fmin_bfgs will
>>> get stuck in an infinite loop.
>>>
>>> I have submitted a bug report:
>>>
>>> http://projects.scipy.org/scipy/ticket/1494
>>>
>>> but would also like to see if anybody on this list has any suggestions or
>>> feedback.
>>>
>>> Thanks,
>>>
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