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From "Christiaan (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-427) LevenbergMarquardtOptimizer: able to customize convergence condition
Date Mon, 18 Oct 2010 14:31:24 GMT
LevenbergMarquardtOptimizer: able to customize convergence condition
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                 Key: MATH-427
                 URL: https://issues.apache.org/jira/browse/MATH-427
             Project: Commons Math
          Issue Type: Improvement
            Reporter: Christiaan


Currently it is not possible to customize the condition for exiting the iterations in the
doOptimize() of LevenbergMarquardtOptimizer. I ran into the scenario where the following condition
was already met after 2 iterations, however in this scenario a better result could be achieved
after 118 iterations:

Current condition:
                // tests for convergence.
                if (((Math.abs(actRed) <= costRelativeTolerance) &&
                        (preRed <= costRelativeTolerance) &&
                        (ratio <= 2.0)) ||
                        (delta <= parRelativeTolerance * xNorm)) {
                    return new VectorialPointValuePair(point, objective);
                }

Preferred condition:
delta <= 2.2204e-16 * xNorm

Eg. if code is put in a protected method convergenceCondition() then LevenbergMarquardtOptimizer
could be subclassed to customize this behaviour. 

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