[SciPy-User] fmin_bfgs failing on simple problem

[John Salvatier]

Thanks Kathleen! Good idea.

It probably wouldn't hurt in my case. The problem also comes up if you use
"inf" too, though which I think would be more common. In any case, I've
filed a bug report:  http://projects.scipy.org/scipy/ticket/1644

John

On Wed, Apr 18, 2012 at 9:39 AM, Kathleen M Tacina <
Kathleen.M.Tacina at nasa.gov> wrote:

> **
> I've recreated this problem on my machine. It appears to be relating to
> floating point precision, and only occurs when the x<0 return value is
> extremely large.
>
>
>
> >>> def f2(x,badval=1e20):
> ...   if x<=0:
> ...     return badval
> ...   else:
> ...     return x+1/x
> ...
> >>> ans=1.
> >>> badval=1e20
> >>> while abs(ans-1.)<1e-5:
> ...     badval = 10*badval
> ...     ans = fmin_bfgs(f2,10,args=(badval,))
>
>
> The while loop ends when badval is 1.0e301, with ans as nan and the
> following error message:
> Warning: Desired error not necessarily achieved due to precision loss.
>          Current function value: nan
>          Iterations: 45
>          Function evaluations: 1989
>          Gradient evaluations: 654
>
> But it works with badval=1.0e300.  Would it hurt your problem to use 1e200
> as your "nearly infinite" value instead of  1.79769313e+308?
>
> Or am I missing something here?
>
>
>
> On Tue, 2012-04-17 at 13:56 -0500, John Salvatier wrote:
>
> Hmm, that's too bad. Looks like there was a big refactoring of
> linesearch.py (
> https://github.com/scipy/scipy/blob/master/scipy/optimize/linesearch.py )
> a couple of years ago (
> https://github.com/scipy/scipy/commit/fefef2d73200d535b95ce0f21dcfe122301a967d
>  )
>
>
>
>  Thanks for the help Nathaniel :)
>
>  On Tue, Apr 17, 2012 at 11:16 AM, Nathaniel Smith <njs at pobox.com> wrote:
>
>  On Tue, Apr 17, 2012 at 7:14 PM, John Salvatier
> <jsalvati at u.washington.edu> wrote:
> > Well that's good news. I have scipy .9.0b1, what version do you have?
>
>
>   Less good news: I have 0.8.0 :-)
>
> - N
>
>
> > On Tue, Apr 17, 2012 at 11:13 AM, Nathaniel Smith <njs at pobox.com> wrote:
> >>
> >> On Tue, Apr 17, 2012 at 6:35 PM, John Salvatier
> >> <jsalvati at u.washington.edu> wrote:
> >> > Hi all!
> >> >
> >> > I am having a problem with the fmin_bfgs solver that's surprising to
> me.
> >> > Here's the toy problem I've set up:
> >> >
> >> > from scipy.optimize import fmin_bfgs, fmin_ncg
> >> > from numpy import *
> >> > import numpy as np
> >> >
> >> > def f(x ):
> >> >     if x < 0:
> >> >         return 1.79769313e+308
> >> >     else :
> >> >         return x + 1./x
> >> >
> >> >
> >> > xs = fmin_bfgs(f, array( [10.]), retall = True)
> >> >
> >> > The solver returns [nan] as the solution.
> >> >
> >> > The problem is designed to be stiff: between 0 and 1, it slopes upward
> >> > to
> >> > infinity but between 1 and infinity, it slopes up at a slope of 1.
> Left
> >> > of 0
> >> > the function has a "nearly infinite" value. If bfgs encounters  a
> value
> >> > that's larger than the current value, it should try a different step
> >> > size,
> >> > no? Why does fmin_bfgs fail in this way?
> >>
> >> I can't reproduce this (on my computer it converges to 0.99999992),
> >> but have you tried making that < into a <=? The divide-by-zero at f(0)
> >> might be making it freak out.
> >>
> >> -- Nathaniel
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> >
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