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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 Wed, 26 Sep 2012 11:30:07 GMT

    [ https://issues.apache.org/jira/browse/MATH-867?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13463721#comment-13463721
] 

Nikolaus Hansen commented on MATH-867:
--------------------------------------

the "bug" is not in the original code. In some CMA-ES codes, variable transformations are
provided as an option (not in the one which was translated). This is however just meant as
a convenience feature, as it could be equivalently implemented as part of the objective function
(and should IMHO preferably viewed as such). This should IMHO be a general feature implemented
in the optimization library, as the benefits of variable transformations are not tightly linked
to any specific optimization method. 

It should be easily possible to drop the transformation in CMAESOptimizer, in which case 0
and 1 must be replaced by the lower and upper boundary values in some parts of the code. 

                
> 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: 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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