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From "Gilles (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-864) CMAESOptimizer does not enforce bounds
Date Wed, 19 Sep 2012 21:16:07 GMT

    [ https://issues.apache.org/jira/browse/MATH-864?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13459106#comment-13459106
] 

Gilles commented on MATH-864:
-----------------------------

bq. I can provide an example program where the optimizer ends up with a fit outside the prescribed
bounds if that would help.

It would be very helpful if you could set up a unit test (i.e. a minimal example) showing
the failure.
Thanks.

bq. the generationLoop does not "repair" the parameters when storing the optimum parameter
values

That looks suspicious indeed.

                
> CMAESOptimizer does not enforce bounds
> --------------------------------------
>
>                 Key: MATH-864
>                 URL: https://issues.apache.org/jira/browse/MATH-864
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.0, 3.1
>            Reporter: Frank Hess
>
> The CMAESOptimizer can exceed the bounds passed to optimize.  Looking at the generationLoop
in doOptimize(), it does a bounds check by calling isFeasible() but if checkFeasableCount
is zero (the default) then isFeasible() is never even called.  Also, even with non-zero checkFeasableCount
it may give up before finding an in-bounds offspring and go forward with an out-of-bounds
offspring.  This is against svn revision 1387637.  I can provide an example program where
the optimizer ends up with a fit outside the prescribed bounds if that would help.

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