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Mantis - ALGLIB
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| ID: | Category: | Severity: | Reproducibility: | Date Submitted: | Last Update: |
| 822 | Optimization | minor | have not tried | 2018-08-20 17:49 | 2018-12-27 18:12 |
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| Reporter: | SergeyB | Platform: | |||
| Assigned To: | SergeyB | OS: | |||
| Priority: | normal | OS Version: | |||
| Status: | resolved | Product Version: | |||
| Product Build: | Resolution: | fixed | |||
| Projection: | none | ||||
| ETA: | none | Fixed in Version: | 3.15.0 | ||
| Programming language: | Unspecified | ||||
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| 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 | ||
| There are no notes attached to this issue. |