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From "Frank Hess (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-868) Default sigma for CMAESOptimizer is wrong when using bounds
Date Mon, 24 Sep 2012 12:55:07 GMT

    [ https://issues.apache.org/jira/browse/MATH-868?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13461775#comment-13461775
] 

Frank Hess commented on MATH-868:
---------------------------------

I found an older ticket on this: MATH-702.  Apparently, the intent is for inputSigma to be
in the same units as the other parameters (not normalized to the interval zero to one).  I
can confirm when I play with the MATH-867 test it does worse with sigma that are much less
than or greater than 1, I'm not sure what that means.
                
> Default sigma for CMAESOptimizer is wrong when using bounds
> -----------------------------------------------------------
>
>                 Key: MATH-868
>                 URL: https://issues.apache.org/jira/browse/MATH-868
>             Project: Commons Math
>          Issue Type: Bug
>            Reporter: Frank Hess
>
> The documentation suggests setting inputSigma to 1/3 the range you are fitting over.
 However, in CMAESOptimizer.initializeCMA() if boundaries are specified the sigmaArray is
by default assigned a value of 0.3 divided by the range.  If the user had specified the inputSigma
to be 0.3 of the range (as suggested by the docs) then sigmaArray would have been assigned
the value of 0.3.  Thus, it looks like the 0.3 should not be divided by the range, only a
user-specified inputSigma should get divided by the range.

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