Hi.
>
> 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.
I'd suggest to modify your copy of "NonLinearConjugateGradientOptimizer",
adding "println" statements[1] so that you can see why "findUpperBound"
fails. [It seems that the "step" might be too large in your case.]
Regards,
Gilles
[1] No logging unfortunately... :-{
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