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From "Gilles (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-868) Default sigma for CMAESOptimizer is wrong when using bounds
Date Sat, 22 Sep 2012 11:51:07 GMT

    [ https://issues.apache.org/jira/browse/MATH-868?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13461128#comment-13461128
] 

Gilles commented on MATH-868:
-----------------------------

IIUC, the "inputSigma" should never be divided by the "range" but rather should be enforced
to lie in the (0, 1) interval (and the documentation should suggest that "0.3" is a good default,
and the value that is used when the user did not pass an "inputSigma" argument).

What do you think?

                
> 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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