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From "Nikolaus Hansen (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-867) CMAESOptimizer with bounds fits finely near lower bound and coarsely near upper bound.
Date Sat, 29 Sep 2012 13:56:07 GMT
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[ https://issues.apache.org/jira/browse/MATH-867?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13466239#comment-13466239
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Nikolaus Hansen commented on MATH-867:
--------------------------------------

{quote}
Since in some previous comments, you indicated that boundaries do not necessarily need to
be taken into account inside the CMAES algorithm, a possibility is to review the entire code,
and remove all code related to boundaries.
{quote}
I believe that this must be a misunderstanding. We do not need the transformation into [0,1]
(or any other transformation for that matter) to take into account boundaries. But we need
to possibly take into account the boundaries within CMAES, if the returned solution is supposed
to be in the bounds.

> CMAESOptimizer with bounds fits finely near lower bound and coarsely near upper bound.

> ---------------------------------------------------------------------------------------
>
>                 Key: MATH-867
>                 URL: https://issues.apache.org/jira/browse/MATH-867
>             Project: Commons Math
>          Issue Type: Bug
>            Reporter: Frank Hess
>         Attachments: MATH867_patch, Math867Test.java
>
>
> When fitting with bounds, the CMAESOptimizer fits finely near the lower bound and coarsely
near the upper bound.  This is because it internally maps the fitted parameter range into
the interval [0,1].  The unit of least precision (ulp) between floating point numbers is much
smaller near zero than near one.  Thus, fits have much better resolution near the lower bound
(which is mapped to zero) than the upper bound (which is mapped to one).  I will attach a
example program to demonstrate.

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