forum.alglib.net

ALGLIB forum
It is currently Sun Oct 20, 2019 2:30 pm

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 1 post ] 
Author Message
 Post subject: Non-linear optimization problem near a local optimum
PostPosted: Tue Jul 07, 2015 6:03 pm 
Offline

Joined: Tue Jul 07, 2015 5:09 pm
Posts: 1
Problem (this is not a "homework" problem but a "minimum working example" of the problem that I think I have. My problem can only be solved using least-square-ish approaches):

Using f(x) = sin(x), find the solution for f(x) = 0 using the Levenberg-Marquardt (LM) argorithm that is closest to x = 0.9 * (pi/2) as initial guess. Hence, a local optimum is searched for.

The expected solution is x = 0. However, the alglib implementation of LM yields -18.85, which numerically represents -6 * pi.

Further, assume that:
  • The initial guess cannot be improved, i.e. it cannot be brought closer to the expected solution.

Questions:
  • In this problem related with the fact that f is locally concave around the initial guess?
  • What (alglib) (optimization) procedure is recommended to obtain the expected solution?

<update>:

The following can help to obtain the correct solution:
  • use minlmsetbc(minlmstate state, double[] bndl, double[] bndu) if the bounds of x are known
  • use minlmsetstpmax(minlmstate state, double stpmax); to reduce the step size, possibly at the cost of performance
  • instead of LM, use a trust-region method (?)

But what if bounds and/or step size information is not available?

====

Many thanks in advance!


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 1 post ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group