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| Using Integral of an independent variable in loss function. http://forum.alglib.net/viewtopic.php?f=2&t=3819 |
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| Author: | Nevalyashka [ Mon Oct 09, 2017 7:25 pm ] | ||
| Post subject: | Using Integral of an independent variable in loss function. | ||
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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| Author: | Sergey.Bochkanov [ Tue Oct 10, 2017 8:31 am ] |
| Post subject: | Re: Using Integral of an independent variable in loss functi |
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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| Author: | Nevalyashka [ Tue Oct 10, 2017 2:03 pm ] |
| Post subject: | Re: Using Integral of an independent variable in loss functi |
Thank's a lot. I'll take second option, but later I realize first) |
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