[MATH-864] CMAESOptimizer does not enforce bounds

• Type: Bug
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Affects Version/s: 3.0
• Fix Version/s: 3.1
• Assignee: Gilles Sadowski
• Reporter: Frank Hess
• Created: 19/Sep/12 19:32
• Updated: 04/Mar/13 18:53
• Resolved: 22/Sep/12 10:05

Description

The CMAESOptimizer can exceed the bounds passed to optimize. Looking at the generationLoop in doOptimize(), it does a bounds check by calling isFeasible() but if checkFeasableCount is zero (the default) then isFeasible() is never even called. Also, even with non-zero checkFeasableCount it may give up before finding an in-bounds offspring and go forward with an out-of-bounds offspring. This is against svn revision 1387637. I can provide an example program where the optimizer ends up with a fit outside the prescribed bounds if that would help.