I have added 4 more 'easy' cases from NIST's web site. I will check the test in, omitting the @Test annotation.
On Fri, Sep 30, 2011 at 5:33 PM, Greg Sterijevski <gsterijev...@gmail.com>wrote: > But they all fail... except for verifying that my objective is correct at > the converged values. > > On Fri, Sep 30, 2011 at 4:51 PM, Greg Sterijevski > <gsterijev...@gmail.com>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... >> >> >> Thank you, >> >> -Greg >> > >
