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From "Rebecca (JIRA)" <j...@apache.org>
Subject [jira] [Updated] (MATH-1466) CMAES Optimization Fails to find Actual Optimum if Solution Value is Negative
Date Mon, 27 Aug 2018 21:56:00 GMT

     [ https://issues.apache.org/jira/browse/MATH-1466?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Rebecca updated MATH-1466:
--------------------------
    Description: 
Class CMAESOptimizer ([java.lang.Object|http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true]

[org.apache.commons.math3.optim.BaseOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseOptimizer.html]<PAIR>

[org.apache.commons.math3.optim.BaseMultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseMultivariateOptimizer.html]<[PointValuePair|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/PointValuePair.html]>

[org.apache.commons.math3.optim.nonlinear.scalar.MultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/nonlinear/scalar/MultivariateOptimizer.html]

org.apache.commons.math3.optim.nonlinear.scalar.noderiv.CMAESOptimizer)

I cannot provide code as I work for a private company with IP. However, my tests indicate
that if the we are minimizing a cost function, and the function's value is a negative value,
the resulting solution is incorrect.

For example, say I were minimizing y = x^2 - 100

The solution should be x = 0, with a value of -100. However, this CMAES optimizer would find
random solutions, like x = 3 or x = -2 (with solutions of -91 and -96 respectively).

I used the BOBYQA solver, and it was able to find the solution of x = 0 with a value of y
= -100. I tested y = x^2 + 100 and the CMAES solver was able to find a solution of x = 0,
y = 100. I tested y = x^2 and the CMAES the CMAES solver was able to find a solution of x
= 0, y = 0. I tested y = x^2 -1 and the CMAES solver was NOT able to find a solution of x
= 0, y = -1.

I know it is highly inconvenient, but if someone wants to take a look at my cost function
I can try to get an NDA. I think this bug is reproducible without it. Feel free to contact
me at [rwolkoff@umich.edu|mailto:rwolkoff@umich.edu] if more info is needed.

I think it has to do with the following stop criteria, which ends early if the cost is negative:

if (stopFitness != 0 && bestFitness < (isMinimize ? stopFitness : -stopFitness))
{
 break generationLoop;
}

 

  was:
Class CMAESOptimizer ([java.lang.Object|http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true]

[org.apache.commons.math3.optim.BaseOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseOptimizer.html]<PAIR>

[org.apache.commons.math3.optim.BaseMultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseMultivariateOptimizer.html]<[PointValuePair|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/PointValuePair.html]>

[org.apache.commons.math3.optim.nonlinear.scalar.MultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/nonlinear/scalar/MultivariateOptimizer.html]

org.apache.commons.math3.optim.nonlinear.scalar.noderiv.CMAESOptimizer)

I cannot provide code as I work for a private company with IP. However, my tests indicate
that if the we are minimizing a cost function, and the function's value is a negative value,
the resulting solution is incorrect.

For example, say I were minimizing y = x^2 - 100

The solution should be x = 0, with a value of -100. However, this CMAES optimizer would find
random solutions, like x = 3 or x = -2 (with solutions of -91 and -96 respectively).

I used the BOBYQA solver, and it was able to find the solution of x = 0 with a value of y
= -100. I tested y = x^2 + 100 and the CMAES solver was able to find a solution of x = 0,
y = 100. I tested y = x^2 and the CMAES the CMAES solver was able to find a solution of x
= 0, y = 0. I tested y = x^2 -1 and the CMAES solver was NOT able to find a solution of x
= 0, y = -1.

I know it is highly inconvenient, but if someone wants to take a look at my cost function
I can try to get an NDA. I think this bug is reproducible without it. Feel free to contact
me at [rwolkoff@umich.edu|mailto:rwolkoff@umich.edu] if more info is needed.

 


> CMAES Optimization Fails to find Actual Optimum if Solution Value is Negative
> -----------------------------------------------------------------------------
>
>                 Key: MATH-1466
>                 URL: https://issues.apache.org/jira/browse/MATH-1466
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.6.1
>            Reporter: Rebecca
>            Priority: Major
>              Labels: Optimization
>
> Class CMAESOptimizer ([java.lang.Object|http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true]
> [org.apache.commons.math3.optim.BaseOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseOptimizer.html]<PAIR>
> [org.apache.commons.math3.optim.BaseMultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseMultivariateOptimizer.html]<[PointValuePair|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/PointValuePair.html]>
> [org.apache.commons.math3.optim.nonlinear.scalar.MultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/nonlinear/scalar/MultivariateOptimizer.html]
> org.apache.commons.math3.optim.nonlinear.scalar.noderiv.CMAESOptimizer)
> I cannot provide code as I work for a private company with IP. However, my tests indicate
that if the we are minimizing a cost function, and the function's value is a negative value,
the resulting solution is incorrect.
> For example, say I were minimizing y = x^2 - 100
> The solution should be x = 0, with a value of -100. However, this CMAES optimizer would
find random solutions, like x = 3 or x = -2 (with solutions of -91 and -96 respectively).
> I used the BOBYQA solver, and it was able to find the solution of x = 0 with a value
of y = -100. I tested y = x^2 + 100 and the CMAES solver was able to find a solution of x
= 0, y = 100. I tested y = x^2 and the CMAES the CMAES solver was able to find a solution
of x = 0, y = 0. I tested y = x^2 -1 and the CMAES solver was NOT able to find a solution
of x = 0, y = -1.
> I know it is highly inconvenient, but if someone wants to take a look at my cost function
I can try to get an NDA. I think this bug is reproducible without it. Feel free to contact
me at [rwolkoff@umich.edu|mailto:rwolkoff@umich.edu] if more info is needed.
> I think it has to do with the following stop criteria, which ends early if the cost is
negative:
> if (stopFitness != 0 && bestFitness < (isMinimize ? stopFitness : -stopFitness))
{
>  break generationLoop;
> }
>  



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