From: stevenj <stevenj@alum.mit.edu>
Date: Tue, 11 Nov 2008 22:52:06 +0000 (-0500)
Subject: more conservative ftol test in subplex, based on max delta f in simplices, to avoid... 
X-Git-Url: http://www.chiark.greenend.org.uk/ucgi/~ianmdlvl/git?a=commitdiff_plain;h=6a769934be89122a221bc8bbb695a9ae404a428b;p=nlopt.git

more conservative ftol test in subplex, based on max delta f in simplices, to avoid false positives in early iterations where the stepssize is too big to make progress

darcs-hash:20081111225206-c8de0-28b9f96be4888599e1201b849664e6dc402d640d.gz
---

diff --git a/neldermead/neldermead.h b/neldermead/neldermead.h
index f1f35f5..9b6bc4f 100644
--- a/neldermead/neldermead.h
+++ b/neldermead/neldermead.h
@@ -44,7 +44,7 @@ nlopt_result nldrmd_minimize_(int n, nlopt_func f, void *f_data,
 			      double *minf,
 			      const double *xstep, /* initial step sizes */
 			      nlopt_stopping *stop,
-			      double psi, double *scratch);
+			      double psi, double *scratch, double *fdiff);
 
 nlopt_result sbplx_minimize(int n, nlopt_func f, void *f_data,
 			    const double *lb, const double *ub, /* bounds */
diff --git a/neldermead/nldrmd.c b/neldermead/nldrmd.c
index 72d0d02..5091e33 100644
--- a/neldermead/nldrmd.c
+++ b/neldermead/nldrmd.c
@@ -98,14 +98,18 @@ static int reflectpt(int n, double *xnew,
    ordinary termination tests, set psi = 0. 
 
    scratch should contain an array of length >= (n+1)*(n+1) + 2*n,
-   used as scratch workspace. */
+   used as scratch workspace. 
+
+   On output, *fdiff will contain the difference between the high
+   and low function values of the last simplex. */
 nlopt_result nldrmd_minimize_(int n, nlopt_func f, void *f_data,
 			     const double *lb, const double *ub, /* bounds */
 			     double *x, /* in: initial guess, out: minimizer */
 			     double *minf,
 			     const double *xstep, /* initial step sizes */
 			     nlopt_stopping *stop,
-			     double psi, double *scratch)
+			     double psi, double *scratch,
+			     double *fdiff)
 {
      double *pts; /* (n+1) x (n+1) array of n+1 points plus function val [0] */
      double *c; /* centroid * n */
@@ -122,6 +126,8 @@ nlopt_result nldrmd_minimize_(int n, nlopt_func f, void *f_data,
 
      rb_tree_init(&t, simplex_compare);
 
+     *fdiff = HUGE_VAL;
+
      /* initialize the simplex based on the starting xstep */
      memcpy(pts+1, x, sizeof(double)*n);
      pts[0] = *minf;
@@ -165,6 +171,8 @@ nlopt_result nldrmd_minimize_(int n, nlopt_func f, void *f_data,
 	  double fh = high->k[0], *xh = high->k + 1;
 	  double fr;
 
+	  *fdiff = fh - fl;
+
 	  if (init_diam == 0) /* initialize diam. for psi convergence test */
 	       for (i = 0; i < n; ++i) init_diam = fabs(xl[i] - xh[i]);
 
@@ -278,7 +286,7 @@ nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
 			     nlopt_stopping *stop)
 {
      nlopt_result ret;
-     double *scratch;
+     double *scratch, fdiff;
 
      *minf = f(n, x, NULL, f_data);
      stop->nevals++;
@@ -290,7 +298,7 @@ nlopt_result nldrmd_minimize(int n, nlopt_func f, void *f_data,
      if (!scratch) return NLOPT_OUT_OF_MEMORY;
 
      ret = nldrmd_minimize_(n, f, f_data, lb, ub, x, minf, xstep, stop,
-			    0.0, scratch);
+			    0.0, scratch, &fdiff);
      free(scratch);
      return ret;
 }
diff --git a/neldermead/sbplx.c b/neldermead/sbplx.c
index 9d89688..0e970c3 100644
--- a/neldermead/sbplx.c
+++ b/neldermead/sbplx.c
@@ -107,6 +107,7 @@ nlopt_result sbplx_minimize(int n, nlopt_func f, void *f_data,
 	  double normdx = 0;
 	  int ns, nsubs = 0;
 	  int nevals = stop->nevals;
+	  double fdiff, fdiff_max = 0;
 
 	  memcpy(xprev, x, n * sizeof(double));
 	  fprev = *minf;
@@ -153,7 +154,8 @@ nlopt_result sbplx_minimize(int n, nlopt_func f, void *f_data,
 	       ++nsubs;
 	       nevals = stop->nevals;
 	       ret = nldrmd_minimize_(ns, subspace_func, &sd, lbs,ubs,xs, minf,
-				      xsstep, stop, psi, scratch);
+				      xsstep, stop, psi, scratch, &fdiff);
+	       if (fdiff > fdiff_max) fdiff_max = fdiff;
 	       if (sbplx_verbose)
 		    printf("%d NM iterations for (%d,%d) subspace\n",
 			   stop->nevals - nevals, sd.is, ns);
@@ -173,16 +175,17 @@ nlopt_result sbplx_minimize(int n, nlopt_func f, void *f_data,
 	  ++nsubs;
 	  nevals = stop->nevals;
 	  ret = nldrmd_minimize_(ns, subspace_func, &sd, lbs,ubs,xs, minf,
-				 xsstep, stop, psi, scratch);
+				 xsstep, stop, psi, scratch, &fdiff);
+	  if (fdiff > fdiff_max) fdiff_max = fdiff;
 	  if (sbplx_verbose)
-	       printf("%d NM iterations for (%d,%d) subspace\n",
+	       printf("sbplx: %d NM iterations for (%d,%d) subspace\n",
 		      stop->nevals - nevals, sd.is, ns);
 	  for (i = sd.is; i < n; ++i) x[p[i]] = xs[i-sd.is];
 	  if (ret == NLOPT_FAILURE) { ret=NLOPT_XTOL_REACHED; goto done; }
 	  if (ret != NLOPT_XTOL_REACHED) goto done;
 
 	  /* termination tests: */
-	  if (nlopt_stop_ftol(stop, *minf, fprev)) {
+	  if (nlopt_stop_ftol(stop, *minf, *minf + fdiff_max)) {
                ret = NLOPT_FTOL_REACHED;
                goto done;
 	  }
@@ -220,6 +223,8 @@ nlopt_result sbplx_minimize(int n, nlopt_func f, void *f_data,
 		    if (scale < omega) scale = omega;
 		    if (scale > 1/omega) scale = 1/omega;
 	       }
+	       if (sbplx_verbose)
+		    printf("sbplx: stepsize scale factor = %g\n", scale);
 	       for (i = 0; i < n; ++i) 
 		    xstep[i] = (dx[i] == 0) ? -(xstep[i] * scale)
                          : copysign(xstep[i] * scale, dx[i]);