Optimization Package Error / Bug

Question

I am using the ShoNS Optimizer, running code such as:

QN = new QuasiNewton();
QN.MaxIterations = 250;
QN.Tolerance = 1e-6;
results = QN.MinimizeDetail(new DiffFunc(GetDerivatives), new double[] {curA,curR});
           

Sometimes it works great, other times, it gives the solution quality as "UserCalculationError" and gives a solution that is not as optimal as one it previously visited (though usually within 2% of the optimal.

I have numerically checked my derivative function so know it is okay, and the optimizer appears to get to have all the gradients be equal to 0+epsilon, that is the right solution, before it throws this error and gives the wrong solution.  Does anyone know what this error means or what triggers it?

Any help much appreciated.

Answer 1

Just an update, tried some stabilizing transforms, nothing worked, the algorithm keeps getting close and then taking a ludicrously large step away from the solution, not sure why.

Answer 2

Well, had to give up on it.  The optimization package seems to work much better if you pre-condition the variables so they are exactly of the same magnitude and you have a good gues, but the ones I was working with were not that different in scale, so I was surprised this was necessary and the thing wasn't robust enough to see this.  

But, to whoever else has this problem, I think the User Calculation Error is related to the hessian not being well estimated due to numeric difficulties.  Another good alternative is AlgLib http://www.alglib.net/, seems to agree more with the matlab solvers based on my tests.