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 Post subject: Using Integral of an independent variable in loss function.Posted: Mon Oct 09, 2017 7:25 pm

Joined: Mon Oct 09, 2017 6:47 pm
Posts: 2
Hello, everyone! I have one problem. There is integral of independent argument t in my loss function. I use autogk for integration and mincg subpackage for optimization. I understand that integral will be function of b and c. How can I implement the transmission of function from autogk to mincg? There is function underneath:

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 Post subject: Re: Using Integral of an independent variable in loss functiPosted: Tue Oct 10, 2017 8:31 am

Joined: Fri May 07, 2010 7:06 am
Posts: 806
It is better to calculate integral analytically and to substitute analytic expression into target function for mincg optimizer. It is integral of polynomial w.r.t. to t variable, after all.

You can implement integration via autogk in the target function, if you want, but such scheme is potentially unstable - numerical integral is always calculated with some error, and this error can confuse optimizer.

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 Post subject: Re: Using Integral of an independent variable in loss functiPosted: Tue Oct 10, 2017 2:03 pm

Joined: Mon Oct 09, 2017 6:47 pm
Posts: 2
Thank's a lot. I'll take second option, but later I realize first)

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