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From Gilles Sadowski <gil...@harfang.homelinux.org>
Subject Re: [Math] BOBYQAOptimizer handle exception
Date Tue, 01 Jan 2013 01:20:06 GMT
Hi.

On Mon, Dec 31, 2012 at 04:23:34PM -0500, enzhong.fu@pnc.com wrote:
> I use BOBYQAOptimizer to do optimization for Black Scholes formula. 
> maxEval is set to 200000, but I still got TooManyEvaluationsException. 
> When it throws exception, I get nothing from the optimizer. CurrentBest is 
> good enough, but it is private and there is no interface to get it. 
> Generally, how do I handle exception with optimizer? I'd like to use 
> currentBest in case of TooManyEvaluationsException.

[This question was raised on the "dev" ML a short time ago. Please search
the ML archive and the bug tracking system.]
In summary, "BOBYQAOptimizer" is in "alpha" state, as mentioned in the
release notes of the two latest releases of Commons Math (3.0 and 3.1).

If the "currentBest" is indeed good enough, then it must mean that the
stopping criterion (i.e. your input to the constructor) is too stringent.
Or that there is a bug in the implementation (which is quite possible given
what I wrote above). If you think that the latter is the case, please
provide a working minimal example that displays the unexpected behaviour.


Best regards,
Gilles

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