Bruce A Johnson created MATH-1107:
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Summary: CMAESOptimizer fails sometimes when bounds are violated
Key: MATH-1107
URL: https://issues.apache.org/jira/browse/MATH-1107
Project: Commons Math
Issue Type: Bug
Reporter: Bruce A Johnson
Fix For: 3.3
The CMAESOptimizer repairs points that are out of bounds by moving them into
bounds, and adding a penalty based on how far they were moved.
The penalty added is scaled by the range of values in the current population.
The calculation of the valueRange, however, includes the penalty so at each
iteration the amount of penalty can grow multiplicatively. One solution, is to
keep the value and penalties separate before calculating the scale factor for
the penalties. A patch that does this will be attached.
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