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From "Bruce A Johnson (Commented) (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-728) Errors in BOBYQAOptimizer when numberOfInterpolationPoints is greater than 2*dim+1
Date Sat, 11 Feb 2012 22:12:59 GMT

    [ https://issues.apache.org/jira/browse/MATH-728?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13206281#comment-13206281
] 

Bruce A Johnson commented on MATH-728:
--------------------------------------

I've been playing with BOBYQA (downloaded from svn repository today, and commenting out the
PathNotExplored exceptions).  A couple observations.
1) I can't make it fail with large number of interpolation points (as long as you stay under
the (2n+1)*(2n+2)/2 recommended max. So this issue is resolved.
2) With large number of interpolation points the algorithm is significantly slower.  I'm minimizing
a function  with a 169 parameters.  The function evaluation takes ~50 msec.  With n+2 interpolation
points, the additional time for each step is about 10 msec.  With 2*n+1 points, the additional
time is about 50 msec, and with about 6*n, the additional time is 250 msec.  So with larger
nInterpolation points a lot of time is spent in the algorithm, besides evaluating the function.
  At some point I'll try to do some profiling of the code.
3) It makes a big difference to normalize the parameters as the initial search region is dependent
on the point with the smallest boundary difference.  So it seems one shouldn't directly fit
the "natural" parameters but normalized values.
                
> Errors in BOBYQAOptimizer when numberOfInterpolationPoints is greater than 2*dim+1
> ----------------------------------------------------------------------------------
>
>                 Key: MATH-728
>                 URL: https://issues.apache.org/jira/browse/MATH-728
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.0
>         Environment: Mac Java(TM) SE Runtime Environment (build 1.6.0_29-b11-402-11M3527)
>            Reporter: Bruce A Johnson
>
> I've been having trouble getting BOBYQA to minimize a function (actually a non-linear
least squares fit) so as one change I increased the number of interpolation points.  It seems
that anything larger than 2*dim+1 causes an error (typically at
> line 1662
>                    interpolationPoints.setEntry(nfm, ipt, interpolationPoints.getEntry(ipt,
ipt));
> I'm guessing there is an off by one error in the translation from FORTRAN.  Changing
the BOBYQAOptimizerTest as follows (increasing number of interpolation points by one) will
cause failures.
> Bruce
> Index: src/test/java/org/apache/commons/math/optimization/direct/BOBYQAOptimizerTest.java
> ===================================================================
> --- src/test/java/org/apache/commons/math/optimization/direct/BOBYQAOptimizerTest.java
(revision 1221065)
> +++ src/test/java/org/apache/commons/math/optimization/direct/BOBYQAOptimizerTest.java
(working copy)
> @@ -258,7 +258,7 @@
>  //        RealPointValuePair result = optim.optimize(100000, func, goal, startPoint);
>          final double[] lB = boundaries == null ? null : boundaries[0];
>          final double[] uB = boundaries == null ? null : boundaries[1];
> -        BOBYQAOptimizer optim = new BOBYQAOptimizer(2 * dim + 1);
> +        BOBYQAOptimizer optim = new BOBYQAOptimizer(2 * dim + 2);
>          RealPointValuePair result = optim.optimize(maxEvaluations, func, goal, startPoint,
lB, uB);
>  //        System.out.println(func.getClass().getName() + " = " 
>  //              + optim.getEvaluations() + " f(");

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