Re: [OctDev] Optim-1.0.12 nmsmax.m coding errors

[Olaf T. <ola...@un...>]

On Fri, Aug 27, 2010 at 05:23:05PM -0400, Bob Walton wrote:
> The nmsmax.m function (Nelder-Mead maximization) in the Optim-1.0.12  
> package contains three coding errors.  Attached is a diff -c file with  
> fixes.  These fixes reduce the number of function evaluations for my  
> test functions by about 40% and also greatly reduces the number of times  
> the procedure gets "stuck" at non-optimum points.  The fixes conform the  
> function to the algorithm published by Nelder and Mead, and also cause  
> the routine's results to agree with other implementations of the 
> algorithm.
> -- 
> Bob Walton

> *** nmsmaxorig.m	Sun Aug 20 09:37:58 2006
> --- nmsmax.m	Thu Aug 26 12:36:46 2010
> ***************
> *** 154,160 ****
>              x(:) = ve;
>              fe = dirn*feval(fun,x,varargin{:});
>              nf = nf + 1;
> !            if fe > f(1)
>                 vk = ve; fk = fe;
>                 how = 'expand,  ';
>              end
> --- 154,160 ----
>              x(:) = ve;
>              fe = dirn*feval(fun,x,varargin{:});
>              nf = nf + 1;
> !            if fe > fr
>                 vk = ve; fk = fe;
>                 how = 'expand,  ';
>              end
> ***************
> *** 168,178 ****
>           x(:) = vc;
>           fc = dirn*feval(fun,x,varargin{:});
>           nf = nf + 1;
> !         if fc > f(n)
>              vk = vc; fk = fc;
>              how = 'contract,';
>           else
> !            for j = 2:n
>                  V(:,j) = (V(:,1) + V(:,j))/2;
>                  x(:) = V(:,j);
>                  f(j) = dirn*feval(fun,x,varargin{:});
> --- 168,178 ----
>           x(:) = vc;
>           fc = dirn*feval(fun,x,varargin{:});
>           nf = nf + 1;
> !         if fc > f(n+1)
>              vk = vc; fk = fc;
>              how = 'contract,';
>           else
> !            for j = 2:n+1
>                  V(:,j) = (V(:,1) + V(:,j))/2;
>                  x(:) = V(:,j);
>                  f(j) = dirn*feval(fun,x,varargin{:});

> ------------------------------------------------------------------------------

nmsmax.m seems to be "foreign" code, only slightly modified for usage
in Octave. If you know the nms algorithm well, I think we should just
accept your correction. But I think for verification you should post
one or more of your test-problems which work better with the
correction.

Olaf