forum.alglib.net

ALGLIB forum
It is currently Fri Nov 08, 2024 12:31 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  [ 3 posts ] 
Author Message
 Post subject: How exatly are parameter scales used in minnlc?
PostPosted: Tue May 07, 2024 12:12 pm 
Offline

Joined: Tue Apr 30, 2024 11:08 am
Posts: 6
Hi,

I have been experimenting with the minnlc optimizer (the SQP algorithm, set with minnlcsetalgosqp).

The documentation states that the scaling coefficients set with minnlcsetscale are used to test stopping conditions, and when using numerical differentiation. My problem has an analytical gradient, so as per the documentation, the scaling coefficients shall only affect stopping conditions. I presume these stopping conditions will come into effect when the optimizer will be doing some kind of line search internally.

Is the minnlcsetscale documentation accurate? Are the scaling coefficients really used only to test stopping conditions, or does the SQP solver do any kind of preconditioning based on these scaling coefficients?

Thanks,
Matevž


Top
 Profile  
 
 Post subject: Re: How exatly are parameter scales used in minnlc?
PostPosted: Tue May 07, 2024 4:29 pm 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 925
Hi!

Yes, you are right and the documentation is not exactly accurate here. The SQP solver also uses scales for preconditioning. In particular, internal quasi-Newton SR1 update uses inverted squared variable scales as an "initial" diagonal matrix for the update.

I have fixed the documentation, the upcoming 4.02 release (will be in several days, a week at most) will feature it.

Sergey.


Top
 Profile  
 
 Post subject: Re: How exatly are parameter scales used in minnlc?
PostPosted: Wed May 08, 2024 1:30 pm 
Offline

Joined: Tue Apr 30, 2024 11:08 am
Posts: 6
Thanks!


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 3 posts ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 5 guests


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