Gilles created MATH-873:
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Summary: "maxIterations" specification in "CMAESOptimizer"
Key: MATH-873
URL: https://issues.apache.org/jira/browse/MATH-873
Project: Commons Math
Issue Type: Improvement
Affects Versions: 3.0
Reporter: Gilles
Assignee: Gilles
Fix For: 3.1, 4.0
The API to the optimizers assumes that the _iterative_ nature of the process is
controlled by specifying a number of allowed function evaluations. This
parameter is passed to the "optimize" method.
In "CMAESOptimizer", there is an additional parameter, "maxIterations", that
serves a similar purpose (i.e. avoiding that the code runs "forever").
There are also convergence criteria (an "internal" one, based on fitness, and
an "external" one, given through a user-defined convergence checker).
It seems that the ideal termination is when convergence is achieved before
reaching the maximal count (be it iterations or function evaluations).
In the current implementation, the algorithm terminates without raising an
exception and a "solution" is always returned at the end of the "generation
loop", even if it fails to meet any of the convergence criteria.
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