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From Greg Sterijevski <gsterijev...@gmail.com>
Subject Re: [Math] NonLinearConjugateGradientOptimizer
Date Sat, 01 Oct 2011 00:42:37 GMT
I have added 4 more 'easy' cases from NIST's web site. I will check the test
in, omitting the @Test annotation.

On Fri, Sep 30, 2011 at 5:33 PM, Greg Sterijevski <gsterijevski@gmail.com>wrote:

> But they all fail... except for verifying that my objective is correct at
> the converged values.
>
> On Fri, Sep 30, 2011 at 4:51 PM, Greg Sterijevski <gsterijevski@gmail.com>wrote:
>
>> Hello All,
>>
>> I have been playing with the non linear optimizers in Commons for a few
>> days now. The context in which I am working is Probit/Logit/Tobit type
>> limited dependent variables models. These are well known problems. I found a
>> very well known example of a probit estimation (
>> http://support.sas.com/rnd/app/examples/ets/margeff/index.html) , the
>> data and attempted to fit the probit model. The only technique which
>> generated 'close' answers to the ones in the publication was
>> Marquardt-Levenberg. The rest of the routines failed in a variety of ways.
>>
>> That got me to thinking about the tests. While there are tests in Commons,
>> maybe there should be more. So I began writing a test collar for all of the
>> methods (I attached it for comments). To my chagrin, the 'easy' problem from
>> NIST (http://www.itl.nist.gov/div898/strd/nls/data/LINKS/DATA/Misra1a.dat)
>> fails all of the optimizers I tried. Powell gets close on the second
>> starting point. It is possible I screwed up the derivatives or did something
>> foolish-since I am new to the commons optimizers. It is hard to verify the
>> derivatives numerically since they (the objective functions) are designed to
>> fool numerical derivation.
>>
>> What are people's thoughts? Before I continue adding tests will-nilly...
>>
>>
>> Thank you,
>>
>> -Greg
>>
>
>

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