On 9/30/11 2:51 PM, Greg Sterijevski wrote: > Hello All, > > I have been playing with the non linear optimizers in Commons for a few days > now. The context in which I am working is Probit/Logit/Tobit type limited > dependent variables models. These are well known problems. I found a very > well known example of a probit estimation ( > http://support.sas.com/rnd/app/examples/ets/margeff/index.html) , the data > and attempted to fit the probit model. The only technique which generated > 'close' answers to the ones in the publication was Marquardt-Levenberg. The > rest of the routines failed in a variety of ways. > > That got me to thinking about the tests. While there are tests in Commons, > maybe there should be more. So I began writing a test collar for all of the > methods (I attached it for comments). To my chagrin, the 'easy' problem from > NIST (http://www.itl.nist.gov/div898/strd/nls/data/LINKS/DATA/Misra1a.dat) > fails all of the optimizers I tried. Powell gets close on the second > starting point. It is possible I screwed up the derivatives or did something > foolish-since I am new to the commons optimizers. It is hard to verify the > derivatives numerically since they (the objective functions) are designed to > fool numerical derivation. > > What are people's thoughts? Before I continue adding tests will-nilly...
More validation tests == good. Always. I would start by adding the tests, but commenting out the @Test annotations for the ones that fail, opening JIRAs for the different kinds of failures you are observing. Phil > > > Thank you, > > -Greg > > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org > For additional commands, e-mail: dev-h...@commons.apache.org --------------------------------------------------------------------- To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org For additional commands, e-mail: dev-h...@commons.apache.org
