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From "Bruce A Johnson (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-1092) NonLinearConjugateGradientOptimizer's Line search is a gradient search returns obviously suboptimal point.
Date Thu, 27 Feb 2014 17:29:24 GMT

    [ https://issues.apache.org/jira/browse/MATH-1092?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13914763#comment-13914763
] 

Bruce A Johnson commented on MATH-1092:
---------------------------------------

There is a good discussion in Numerical Recipes on using gradients in a line minimization
(the conclusion being basically to use them very judiciously, for example to figure out what
side of the interval to search in).  Since we have gradients available there might be some
advantage in optionally using them in the line minimization).  For now, I'm quite happy that
with your fix the line minimizer should never return a point with a higher value than the
starting point (assuming we're doing minimization rather than maximization).



> NonLinearConjugateGradientOptimizer's Line search is a gradient search returns obviously
suboptimal point.
> ----------------------------------------------------------------------------------------------------------
>
>                 Key: MATH-1092
>                 URL: https://issues.apache.org/jira/browse/MATH-1092
>             Project: Commons Math
>          Issue Type: Bug
>            Reporter: Ajo Fod
>         Attachments: MATH-1092.patch
>
>
> In package : org.apache.commons.math3.optim.nonlinear.scalar.gradient
> In a minimization problem, a line search should not return a point where the value is
greater than the values at the edges of the interval. The line search violates this obvious
requirement by focusing solely on solving for gradient=0 and ignoring the value.
> Moreover LineSearchFunction is something that can be used in other contexts, so perhaps
this should be a standalone class.



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