LevenbergMarquardtOptimizer: able to customize convergence condition
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Key: MATH-427
URL: https://issues.apache.org/jira/browse/MATH-427
Project: Commons Math
Issue Type: Improvement
Reporter: Christiaan
Currently it is not possible to customize the condition for exiting the
iterations in the doOptimize() of LevenbergMarquardtOptimizer. I ran into the
scenario where the following condition was already met after 2 iterations,
however in this scenario a better result could be achieved after 118 iterations:
Current condition:
// tests for convergence.
if (((Math.abs(actRed) <= costRelativeTolerance) &&
(preRed <= costRelativeTolerance) &&
(ratio <= 2.0)) ||
(delta <= parRelativeTolerance * xNorm)) {
return new VectorialPointValuePair(point, objective);
}
Preferred condition:
delta <= 2.2204e-16 * xNorm
Eg. if code is put in a protected method convergenceCondition() then
LevenbergMarquardtOptimizer could be subclassed to customize this behaviour.
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