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https://issues.apache.org/jira/browse/MATH-1107?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Bruce A Johnson updated MATH-1107:
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Attachment: cmaes_patch.txt
> 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
>
> Attachments: cmaes_patch.txt
>
>
> 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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