[Scilab-users] optim vs Neldermead: improvement

[Paul Bignier]

Hi Paul,

As I'm sure you've read them, optim 
<https://help.scilab.org/docs/6.0.0/en_US/optim.html>, neldermead 
<https://help.scilab.org/docs/6.0.0/en_US/neldermead.html> & 
numderivative 
<https://help.scilab.org/docs/6.0.0/en_US/numderivative.html> help pages 
provide you with all the flags you can customize.
After that, it's all in the functions that you provide to compute the 
cost & its derivative.

Best regards,
Paul


On 01/23/2017 09:41 AM, paul.carrico at free.fr wrote:
>
> Hi All
>
> I’m using ‘optim’ and ‘NelderMead’ in conjunction with my finite 
> element solver.
>
> A “good” optimization is a balance between accuracy and cpu time … in 
> other word I do not necessary need to be accurate at 1e-11 but 
> requiring a lot of iterations where 1e-3 is enough with a lower amount 
> of loops.
>
> In my understanding:
>
>  1. With ‘optim’, I can modifiy
>
>   * The step value h in numderivative (put at 1e-3 after previous
>     tests on analytical functions tests)
>   * The values of epsf (default value) and epsg (tested at 1e-3 and 1e-5)
>
>  1. With “Neldermead”, I can change:
>
>   * Tolfunrelative (tested at default value for the moment)
>   * Tolxrelative (tested at default value for the moment)
>
>
>  Am I right or is there another 'flags' I can play with?
>
> /NB/: so far, Nelder-Mead requires less iterations than ‘optim’ with a 
> single variable … I’m wondering how can I improve optim use that is 
> supposed to converge faster?
>
>  Thanks
>
> Paul
>
>
>
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-- 
Paul BIGNIER
Development engineer
-----------------------------------------------------------
Scilab Enterprises
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Phone: +33.1.80.77.04.68
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