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From François Laferrière <francoislaferrie...@yahoo.fr>
Subject [math] some debug features would be useful in optim package.
Date Tue, 09 Jul 2013 12:53:25 GMT
Hello

I am trying to extends the optim package for my own needs, keeping in
mind that I may possibly contribute to common-math. So I try to stick to the general design
philosophy of common-math

In my project, I do need to compare the performance of different
algorithm. So I need to keep track not
only of initial guess, final results and number of iteration, but also
of intermediate results. For instance, it would be gread to have an
option to keep track of the trajectory, for instance as an array of
values that can be retrieved at the end. Something like (using the yet yo be
developped "fluent" interface).

  class MyOptimizer implement DebuggableOptim ...

  MyOptimizer optim = new MyOptimiser().withDebuggable(true) ;
  PointValuePair resultPair = optim.optimize(...) ;
  PointValuePair [] trajectory = optim.getTrajectory() ;

For my own purpose, I am developping implementation of different gradient based optim methods
not
available yet with 3.2 (simple gradient, Newton and quasi-Newton methods)

To do so I also implemented a general purpose 

abstract public class NumericallyDerivableMultivariateFunction implements MultivariateFunction
{
 ...

This class impement the gradient and hessian matrix based on finite differences

If it can be of any use

yours truly

François Laferriere 

P.S. I previously submitted this stuff to "user" list and Gilles suggested to push it on the
dev list
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