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From Greg Sterijevski <gsterijev...@gmail.com>
Subject [Math] NonLinearConjugateGradientOptimizer
Date Wed, 28 Sep 2011 04:39:42 GMT
Hello All,

I am working on limited dependent variable regressions. I am testing part of
a logit regression routine. As part of the estimation technique I am need to
do some nonlinear optimization. Using the
NonLinearConjugateGradientOptimizer, I submit my problem, but get the
following exception:

org.apache.commons.math.exception.MathIllegalStateException: unable to
bracket optimum in line search
    at
org.apache.commons.math.optimization.general.NonLinearConjugateGradientOptimizer.findUpperBound(NonLinearConjugateGradientOptimizer.java:258)
    at
org.apache.commons.math.optimization.general.NonLinearConjugateGradientOptimizer.doOptimize(NonLinearConjugateGradientOptimizer.java:185)
    at
org.apache.commons.math.optimization.direct.BaseAbstractScalarOptimizer.optimize(BaseAbstractScalarOptimizer.java:130)
    at
org.apache.commons.math.optimization.general.AbstractScalarDifferentiableOptimizer.optimize(AbstractScalarDifferentiableOptimizer.java:79)


I have checked that the gradients are consistent with the object function. I
have verified that numerical (finite differences) gradient and my analytical
one agree. Since the problem is logit, there is no issue of negative
numbers.

What could I be doing wrong? The solver is called using Polak-Ribiere
updating scheme.

Thank you,

-Greg

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