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From "Gilles (JIRA)" <>
Subject [jira] [Created] (MATH-873) "maxIterations" specification in "CMAESOptimizer"
Date Mon, 01 Oct 2012 23:05:08 GMT
Gilles created MATH-873:

             Summary: "maxIterations" specification in "CMAESOptimizer"
                 Key: MATH-873
             Project: Commons Math
          Issue Type: Improvement
    Affects Versions: 3.0
            Reporter: Gilles
            Assignee: Gilles
             Fix For: 3.1, 4.0

The API to the optimizers assumes that the _iterative_ nature of the process is controlled
by specifying a number of allowed function evaluations. This parameter is passed to the "optimize"

In "CMAESOptimizer", there is an additional parameter, "maxIterations", that serves a similar
purpose (i.e. avoiding that the code runs "forever").

There are also convergence criteria (an "internal" one, based on fitness, and an "external"
one, given through a user-defined convergence checker).
It seems that the ideal termination is when convergence is achieved before reaching the maximal
count (be it iterations or function evaluations).

In the current implementation, the algorithm terminates without raising an exception and a
"solution" is always returned at the end of the "generation loop", even if it fails to meet
any of the convergence criteria.

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