optimization algorithms
in [Matlab]
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From: Marcelo Marazzi on 23 Feb 2010 11:13 Hi Manthos, As Kirill suggests, these algorithms modify the initial guess x0 if the user-supplied x0 does not lie within the bounds lb and ub. Different algorithms, such as active-set and interior-point, may perform different types of perturbations (suitable for each algorithm), resulting in somewhat different modified initial points. At iteration zero, the objective is evaluated at this modified x0, and not at the original x0, where the objective might not be defined because x0 violate the bounds. This could be the cause of the difference you are observing: check the x0 you are providing and see if it satisfies the bounds. -Marcelo On 2/20/2010 8:47 AM, Kirill wrote: > On Feb 19, 2:54 pm, "Manthos Vogiatzoglou"<vogi...(a)gmail.com> wrote: >> I think I better rephase. >> >> I know that the value of the function LL, at zero iteration, is LL(x0), where x0 are the initial values. I expect the same result only in ineration zero, because x0 is the same for both algorithms. To put it more... mathematically: >> >> I know that: LL(x0) = v >> >> active set returns: function value = v at iteration zero >> >> interior point returns: function value = b very different than v, again at iteration zero > > For constrained optimization x0 could be modified to be within the pre- > defined bounds? It should be easy to check inside the likelihood > function if the passed parameter vector is indeed the same in both > cases, in the debugger. > > Kirill |