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https://issues.apache.org/jira/browse/MATH-868?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13461294#comment-13461294
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Gilles commented on MATH-868:
-----------------------------
While running the code which you provided in MATH-867, I noticed that having an
"inputSigma" either much larger or much smaller than 0.3 gives even worse
results for that test (both when the optimum is near the lower bound and whne
it's near the upper bound).
>From this, I'd suspect that the code is correct (always divided by the range),
>but that the documentation is wrong to suggest multiplying 0.3 by the range as
>a good value for "inputSigma".
I propose to modify the doc of "inputSigma", indicating that it should be about
0.3.
That looks strange, and the problem may well lie deeper (in how constraints are
taken into account). Unless you have a test case, there isn't much more I can
do, unfortunately.
> Default sigma for CMAESOptimizer is wrong when using bounds
> -----------------------------------------------------------
>
> Key: MATH-868
> URL: https://issues.apache.org/jira/browse/MATH-868
> Project: Commons Math
> Issue Type: Bug
> Reporter: Frank Hess
>
> The documentation suggests setting inputSigma to 1/3 the range you are
> fitting over. However, in CMAESOptimizer.initializeCMA() if boundaries are
> specified the sigmaArray is by default assigned a value of 0.3 divided by the
> range. If the user had specified the inputSigma to be 0.3 of the range (as
> suggested by the docs) then sigmaArray would have been assigned the value of
> 0.3. Thus, it looks like the 0.3 should not be divided by the range, only a
> user-specified inputSigma should get divided by the range.
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