Rebecca created MATH-1466:
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Summary: CMAES Optimization Fails to find Actual Optimum if
Solution Value is Negative
Key: MATH-1466
URL: https://issues.apache.org/jira/browse/MATH-1466
Project: Commons Math
Issue Type: Bug
Affects Versions: 3.6.1
Reporter: Rebecca
Class CMAESOptimizer
([java.lang.Object|http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true]
[org.apache.commons.math3.optim.BaseOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseOptimizer.html]<PAIR>
[org.apache.commons.math3.optim.BaseMultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/BaseMultivariateOptimizer.html]<[PointValuePair|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/PointValuePair.html]>
[org.apache.commons.math3.optim.nonlinear.scalar.MultivariateOptimizer|http://commons.apache.org/proper/commons-math/javadocs/api-3.4/org/apache/commons/math3/optim/nonlinear/scalar/MultivariateOptimizer.html]
org.apache.commons.math3.optim.nonlinear.scalar.noderiv.CMAESOptimizer)
I cannot provide code as I work for a private company with IP. However, my
tests indicate that if the we are minimizing a cost function, and the
function's value is a negative value, the resulting solution is incorrect.
For example, say I were minimizing y = x^2 - 100
The solution should be x = 0, with a value of -100. However, this CMAES
optimizer would find random solutions, like x = 3 or x = -2 (with solutions of
-91 and -96 respectively).
I used the BOBYQA solver, and it was able to find the solution of x = 0 with a
value of y = -100. I tested y = x^2 + 100 and the CMAES solver was able to find
a solution of x = 0, y = 100. I tested y = x^2 and the CMAES the CMAES solver
was able to find a solution of x = 0, y = 0. I tested y = x^2 -1 and the CMAES
solver was NOT able to find a solution of x = 0, y = -1.
I know it is highly inconvenient, but if someone wants to take a look at my
cost function I can try to get an NDA. I think this bug is reproducible without
it. Feel free to contact me at [[email protected]|mailto:[email protected]]
if more info is needed.
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