Commons Math
  1. Commons Math
  2. MATH-1107

CMAESOptimizer fails sometimes when bounds are violated

    Details

    • Type: Bug Bug
    • Status: Closed
    • Priority: Major Major
    • Resolution: Fixed
    • Affects Version/s: None
    • Fix Version/s: 3.3
    • Labels:
      None

      Description

      The CMAESOptimizer repairs points that are out of bounds by moving them into bounds, and adding a penalty based on how far they were moved.

      The penalty added is scaled by the range of values in the current population.

      The calculation of the valueRange, however, includes the penalty so at each iteration the amount of penalty can grow multiplicatively. One solution, is to keep the value and penalties separate before calculating the scale factor for the penalties. A patch that does this will be attached.

      1. cmaes_penalty.patch
        6 kB
        Bruce A Johnson

        Activity

        Transition Time In Source Status Execution Times Last Executer Last Execution Date
        Open Open Resolved Resolved
        13h 6m 1 Luc Maisonobe 03/Mar/14 10:00
        Resolved Resolved Closed Closed
        77d 5h 13m 1 Luc Maisonobe 19/May/14 16:13
        Luc Maisonobe made changes -
        Status Resolved [ 5 ] Closed [ 6 ]
        Hide
        Luc Maisonobe added a comment -

        Closing all resolved issue now available in released 3.3 version.

        Show
        Luc Maisonobe added a comment - Closing all resolved issue now available in released 3.3 version.
        Luc Maisonobe made changes -
        Status Open [ 1 ] Resolved [ 5 ]
        Resolution Fixed [ 1 ]
        Hide
        Luc Maisonobe added a comment -

        Patch applied (with minor changes) as of r1573506.

        Thanks for the report and for the patch!

        Show
        Luc Maisonobe added a comment - Patch applied (with minor changes) as of r1573506. Thanks for the report and for the patch!
        Bruce A Johnson made changes -
        Attachment cmaes_penalty.patch [ 12632075 ]
        Bruce A Johnson made changes -
        Attachment cmaes_patch.txt [ 12632074 ]
        Bruce A Johnson made changes -
        Field Original Value New Value
        Attachment cmaes_patch.txt [ 12632074 ]
        Bruce A Johnson created issue -

          People

          • Assignee:
            Unassigned
            Reporter:
            Bruce A Johnson
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            Watchers:
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            Dates

            • Created:
              Updated:
              Resolved:

              Development