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

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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

Status

resolved

Product Version

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.

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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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