Turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- Intel Community
- Software
- Software Development SDKs and Libraries
- Intel® oneAPI Math Kernel Library
- Stability of trusted region algorithm in MKL 10.3

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Mute
- Printer Friendly Page

Timothé_B_

Beginner

- Mark as New
- Bookmark
- Subscribe
- Mute
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

07-26-2013
02:13 AM

88 Views

Stability of trusted region algorithm in MKL 10.3

Hi all,

I am using the trusted region algorithm (from MKL 10.3) to solve a non linear least square problem with boundary constraints. I followed the documentation and the examples that are provided to implement it in my code, and I find some stability issues with this method. Every time I launch my optimization, I get a (slightly) different results, with different termination criteria, and different number of iteration. It seems to me that the algorithm takes a different path for every trial that I make. As far as I know, the TR algorithm is determinist, and when starting from the same initial guess, it should always converge to the same solution. This is at least what I observe in the matlab implementation of this algorithm.

I precise that I am quite confident in my implementation because the residual that I obtain with MKL TR algorithm are consistant with those of matlab.

Does any one of you has an explanation for this puzzling behavior?

Best regards,

T.Boutelier

Link Copied

3 Replies

mecej4

Black Belt

- Mark as New
- Bookmark
- Subscribe
- Mute
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

07-26-2013
05:00 AM

88 Views

Timothé_B_

Beginner

- Mark as New
- Bookmark
- Subscribe
- Mute
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

07-26-2013
07:05 AM

88 Views

Hi,

I finally found my mistake. The reason is that i was modifying one parameter in the additional data passed into the objective function, when the objective function was called. This explain the variability in the results of the TR problem. I corrected this and the results are identical when I call the optimizer several time with the same starting point.

However, I still observe a difference in the number of iteration and number of call function. Is it normal, or do you think it means that I miss an other bug?

I checked the initialization of the variable and array overruns, I think there is no problem from this side.

SergeyKostrov

Valued Contributor II

- Mark as New
- Bookmark
- Subscribe
- Mute
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

07-26-2013
08:26 AM

88 Views

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

For more complete information about compiler optimizations, see our Optimization Notice.