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bfgsmin and fminunc
From: |
Michael Creel |
Subject: |
bfgsmin and fminunc |
Date: |
Thu, 14 May 2009 02:08:04 -0700 (PDT) |
I hadn't been keeping up with the developments, but a post today brought
fminunc to my attention. fminunc has more or less the same use as bfgsmin,
so I did a quick comparison. The script attached to this message uses the
two algorithms to minimize a function of 20 variables. If you run this on
Octave 3.1.55, you find that bfgsmin is about 7X faster. The default
tolerances for bfgsmin are 1e-12 on the function value, and 1e-6 for the
variables. For fminunc, the default tolerances according to the help entry
are 1e-7. In spite of this, a convergence check fails for fminunc (and
inspection of the result shows that some variables are more than 1e-6 away
from the solution. The output of the script is below.
This is just one example
http://www.nabble.com/file/p23536892/compare_bfgsmin_fminunc.m
compare_bfgsmin_fminunc.m , I have no idea if these results are
representative.
Michael
octave:12> compare_bfgsmin_fminunc
EXAMPLE 1: Ordinary BFGS, using analytic gradient
------------------------------------------------
bfgsmin final results: 65 iterations
function value: 1.8134e-16
STRONG CONVERGENCE
Function conv 1 Param conv 1 Gradient conv 1
param gradient (n) change
0.05000 -0.00000 0.00000
0.10000 0.00000 -0.00000
0.15000 0.00000 -0.00000
0.20000 -0.00000 0.00000
0.25000 -0.00000 0.00000
0.30000 -0.00000 0.00000
0.35000 -0.00000 0.00000
0.40000 -0.00000 0.00000
0.45000 0.00000 -0.00000
0.50000 -0.00000 -0.00000
0.55000 0.00000 -0.00000
0.60000 -0.00000 -0.00000
0.65000 -0.00000 0.00000
0.70000 0.00000 -0.00000
0.75000 0.00000 -0.00000
0.80000 -0.00000 0.00000
0.85000 0.00000 0.00000
0.90000 0.00000 0.00000
0.95000 -0.00000 0.00000
1.00000 -0.00000 0.00000
theta =
0.050000
0.100000
0.150000
0.200000
0.250000
0.300000
0.350000
0.400000
0.450000
0.500000
0.550000
0.600000
0.650000
0.700000
0.750000
0.799999
0.849999
0.899997
0.949994
0.999988
BFGSMIN: EXAMPLE 1: Ordinary BFGS, using analytic gradient
Success!! :-)
Elapsed time = 0.092005
FMINUNC: EXAMPLE 1: Ordinary BFGS, using analytic gradient
Failure?! :-(
Elapsed time = 0.724046
--
View this message in context:
http://www.nabble.com/bfgsmin-and-fminunc-tp23536892p23536892.html
Sent from the Octave - Maintainers mailing list archive at Nabble.com.
- bfgsmin and fminunc,
Michael Creel <=
- Re: bfgsmin and fminunc, Michael Creel, 2009/05/14
- Re: bfgsmin and fminunc, Jaroslav Hajek, 2009/05/14
- Re: bfgsmin and fminunc, Michael Creel, 2009/05/15
- Re: bfgsmin and fminunc, Julian Schnidder, 2009/05/15
- Re: bfgsmin and fminunc, Jaroslav Hajek, 2009/05/18
- Re: bfgsmin and fminunc, Michael Creel, 2009/05/18
- Re: bfgsmin and fminunc, Jaroslav Hajek, 2009/05/18
- Re: bfgsmin and fminunc, Michael Creel, 2009/05/18
- Re: bfgsmin and fminunc, Jaroslav Hajek, 2009/05/18