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From "Thomas Weise (JIRA)" <j...@apache.org>
Subject [jira] [Created] (MATH-1375) BOBYQAOptimizer Seems to Sometimes Enter Endless Loop
Date Thu, 09 Jun 2016 03:00:24 GMT
Thomas Weise created MATH-1375:
----------------------------------

             Summary: BOBYQAOptimizer Seems to Sometimes Enter Endless Loop
                 Key: MATH-1375
                 URL: https://issues.apache.org/jira/browse/MATH-1375
             Project: Commons Math
          Issue Type: Bug
    Affects Versions: 3.6.1
         Environment: Java 8 JDK, OpenJDK, Ubuntu
            Reporter: Thomas Weise
            Priority: Minor


I am using BOBYQAOptimizer to solve some numerical problems related to nonlinear function
fitting. BOBYQAOptimizer is provided with close-to-optimal solutions which it is supposed
to refine. In some cases, BOBYQAOptimizer seems to enter an endless loop, or at least an extremely
long loop. The problem is almost impossible to reproduce as it occurs maybe once every 1000
runs.

>From what I can see with the debugger, the source of the problem is probably method trsbox
which is called by bobyqb. In trsbox, some values of a vector (sorry, forgot which one) grow
extremely large (>=1e250). Either way, I noticed that both mentioned methods feature a
for(;;) loop.

Now that algorithm looks quite mathematical to me and seemingly has been translated from FORTRAN
or something. I think fixing and finding mathematical issues might be complicated (see also
the caveats reported in the release notes) and overall, the algorithm is working.

How about you also count the iterations of the for(;;) loops in bobyqb and trsbox and throw
an exception if they exceed some limit? In the easiest case, instead of for(;;) you can do
something like

for(int maxRemainingSteps=100; (--maxRemainingSteps)>=0;) {
...
}
   throw new MaxCountExceededException(100);
// or TooManyEvaluationsException(100);
// or MathIllegalStateException(LocalizedFormats.SIMPLE_MESSAGE, "Huh?");

Since the original for loops are always left via "return", that would already do the trick.
Or you could use an Incrementor object for this purpose. Either way, I think with the very
simple fix above, you would prevent endless loops, add only a tiny bit of very easy-to-understand
code, and would not break the algorithm contract, since such exceptions could be thrown sometimes
even without the fix.

In summary: BOBYQAOptimizer needs some work. Fixing the issue I observed properly (i.e., by
fixing the special cases causing it) is probably very complex and is probably not feasible.
Preventing it, however, seems to be rather easy, as I have shown above.



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