Hello All, I am working on limited dependent variable regressions. I am testing part of a logit regression routine. As part of the estimation technique I am need to do some nonlinear optimization. Using the NonLinearConjugateGradientOptimizer, I submit my problem, but get the following exception:
org.apache.commons.math.exception.MathIllegalStateException: unable to bracket optimum in line search at org.apache.commons.math.optimization.general.NonLinearConjugateGradientOptimizer.findUpperBound(NonLinearConjugateGradientOptimizer.java:258) at org.apache.commons.math.optimization.general.NonLinearConjugateGradientOptimizer.doOptimize(NonLinearConjugateGradientOptimizer.java:185) at org.apache.commons.math.optimization.direct.BaseAbstractScalarOptimizer.optimize(BaseAbstractScalarOptimizer.java:130) at org.apache.commons.math.optimization.general.AbstractScalarDifferentiableOptimizer.optimize(AbstractScalarDifferentiableOptimizer.java:79) I have checked that the gradients are consistent with the object function. I have verified that numerical (finite differences) gradient and my analytical one agree. Since the problem is logit, there is no issue of negative numbers. What could I be doing wrong? The solver is called using Polak-Ribiere updating scheme. Thank you, -Greg