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From "Thomas Weise (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-1375) BOBYQAOptimizer Seems to Sometimes Enter Endless Loop
Date Sat, 11 Jun 2016 11:38:21 GMT

    [ https://issues.apache.org/jira/browse/MATH-1375?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=15325827#comment-15325827
] 

Thomas Weise commented on MATH-1375:
------------------------------------

Hi. Yes, MATH-1282 is definitely related, probably the same problem.

I am using BOBYQA in combination with other optimizers. I found that in my particular problem,
Levenberg-Marquardt + Nelder/Mead + BOBYQA in combination often give the best performance/runtime
results.

I did not test other implementations of BOBYQA. I see where you are getting at: This problem
seems to only occur rarely, it might actually already be present in the original algorithm.

>From this perspective, my suggested fix may be the best option for the time being: Limiting
the loops to a reasonable, generous maximum number of iterations. The main issue is this:
The problem does not occur often, the other issue confirms that. If the problem occurs, this
is an endless loop. So for a productive system, this is a real show stopper. Since the problem
does not occur often, it would even be acceptable if BOBYQA would run quite a bit longer,
as long as it does not run forever. Thus the idea with the generous upper limit. trsbox could
simply return null is the limit is exceeded, which could be checked in the calling method,
which could then simply return immediately as well. One could even allow the user to specify
the limit number.

The resulting changes in code would be minimal and they would not violate the contract of
the methods. BOBYQA cannot guarantee to find the global optimum anyway. If in some very rare
cases it would be terminated "early" after quite some time while it was actually not in an
endless loop, it could return the best-so-far solution, which would then probably not be very
different from what it would return anyway.

> 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
>   Original Estimate: 4h
>  Remaining Estimate: 4h
>
> 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
> {code}
> for(int maxRemainingSteps=100; (--maxRemainingSteps)>=0;) {
> ...
> }
>    throw new MaxCountExceededException(100);
> // or TooManyEvaluationsException(100);
> // or MathIllegalStateException(LocalizedFormats.SIMPLE_MESSAGE, "Huh?");
> {code}
> 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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