[SciPy-User] optimize - initial step size too small (for noisy objective)

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[SciPy-User] optimize - initial step size too small (for noisy objective)

Neal Becker
I tried using scipy.optimize.minimize, with a single variable, with a bound
of [(-2,2)].  The initial step was only 1e-8.  The objective function could
be (a little) noisy - this seemed to cause minimize to never attempt a step
in that direction again.

Is there some way to cause it to take a bigger step, e.g., 1e-3?

I'm trying brent now, probably a better choice.

--
Those who fail to understand recursion are doomed to repeat it

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Re: optimize - initial step size too small (for noisy objective)

Yuxiang Wang
Hi Neal,

Have you tried the options keyword?

For example, scipy.optimize.minimize(func, np.ones(3), args=(arg1,
arg2, -1), method='SLSQP', bounds=bounds, options={'eps': 1e-3})

For more details on what options are available, see:

http://docs.scipy.org/doc/scipy-0.14.0/reference/generated/scipy.optimize.show_options.html#scipy.optimize.show_options

Shawn

On Wed, Mar 18, 2015 at 1:36 PM, Neal Becker <[hidden email]> wrote:

> I tried using scipy.optimize.minimize, with a single variable, with a bound
> of [(-2,2)].  The initial step was only 1e-8.  The objective function could
> be (a little) noisy - this seemed to cause minimize to never attempt a step
> in that direction again.
>
> Is there some way to cause it to take a bigger step, e.g., 1e-3?
>
> I'm trying brent now, probably a better choice.
>
> --
> Those who fail to understand recursion are doomed to repeat it
>
> _______________________________________________
> SciPy-User mailing list
> [hidden email]
> http://mail.scipy.org/mailman/listinfo/scipy-user



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Yuxiang "Shawn" Wang
Gerling Research Lab
University of Virginia
[hidden email]
+1 (434) 284-0836
https://sites.google.com/a/virginia.edu/yw5aj/
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