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Re: bfgsmin iterations
From: |
Levente Torok |
Subject: |
Re: bfgsmin iterations |
Date: |
Wed, 13 May 2009 23:09:05 +0200 |
User-agent: |
KMail/1.11.2 (Linux/2.6.27-11-generic; KDE/4.2.2; i686; ; ) |
On Wednesday 13 May 2009, you wrote:
>
> // this is cache on feval to prevent the extra evaluation of the
> // objective function when subsequent calls with exactly the same
> arguments would take place
>
> I think we have to be cautious with modifying feval to cache the results,
> because this
> makes two assumptions:
>
> - the function is 'functional' i.e. should return the same result given the
> same argument
> This is not true e.g. for stochastical functions (monte carlo, etc).
>
> - the function has no side effects, i.e. doesn't change some global state.
>
You are correct from functional point of view.
However, due to the fact that fmins is intendeded for minimizing a function
over
the parameter space, which inherently assumes that the objective function is
stateless.
For the case of stochastic (MC) stuff, I think the same assumption applies, too.
Levente
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