0000822: FIXED: gradient checking functionality in nonlinear optimizers does not handle scaling properly

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Category

Severity

Reproducibility

Date Submitted

Last Update

0000822

[ALGLIB] Optimization

minor

have not tried

2018-08-20 17:49

2018-12-27 18:12

Reporter

SergeyB

View Status

public

Assigned To

SergeyB

Priority

normal

Resolution

fixed

Platform

Status

resolved

Projection

none

OS Version

ETA

none

Fixed in Version

3.15.0

Product Version

Target Version

3.15.0

Product Build

Summary

0000822: FIXED: gradient checking functionality in nonlinear optimizers does not handle scaling properly

Description

=== ORIGINAL REPORT BY USER ===
Problem: When I run minlbfgssetgradientcheck(state, 1e-4) to verify that the numerical gradient is accurate enough, I only get a good result when the scale is set to 1 for each variable. If I first set the scale the way I think is desirable using minlbfgssetscale(state, s), I always get the -7 status. My hypothesis is that the gradient check does not take the scale into account properly. More specifically, I think that the line

if( !derivativecheck(state->fm1, state->fp1, state->fm2, state->fp2, state->f, state->g.ptr.p_double[i], 2*state->teststep, _state) )

should be:

if( !derivativecheck(state->fm1, state->fp1, state->fm2, state->fp2, state->f, state->g.ptr.p_double[i], 2*state->teststep * state->s.ptr.p_double[i], _state) )

to take the scaling properly into account.

=== SOLUTION ===

Switched everything to new OptGuard API which has this error fixed.

Steps To Reproduce

Additional Information

Programming language

Unspecified

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Issue History
Date Modified	Username	Field	Change
2018-08-20 17:49	SergeyB	New Issue
2018-08-20 17:49	SergeyB	Status	new => assigned
2018-08-20 17:49	SergeyB	Assigned To	=> SergeyB
2018-08-20 17:49	SergeyB	Programming language	=> Unspecified
2018-12-24 16:57	SergeyB	Summary	gradient checking functionality in nonlinear optimizers does not handle scaling properly => FIXED: gradient checking functionality in nonlinear optimizers does not handle scaling properly
2018-12-24 16:57	SergeyB	Description Updated
2018-12-24 16:57	SergeyB	Status	assigned => resolved
2018-12-24 16:57	SergeyB	Fixed in Version	=> 3.15.0
2018-12-24 16:57	SergeyB	Resolution	open => fixed
2018-12-27 18:12	SergeyB	Category	General => Optimization

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