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[Bug-gsl] Fix bug in multimin/directional_minimize.c

From: Gallego Bonet, Guillermo
Subject: [Bug-gsl] Fix bug in multimin/directional_minimize.c
Date: Fri, 5 Mar 2010 20:38:30 -0500 (EST)


I think it would be wise to replace, inside function intermediate_point(), the 

if (fb >= fa  && stepb > 0.0)


if (fb >= fa  && stepb > STEP_TOL)

where one could define the tolerance to be any value related to the machine 
precision. I used

#define STEP_TOL 1e-7

I tested the Fletcher-Reeves and PR algorithms ( 
gsl_multimin_fdfminimizer_conjugate_fr(), ... ) to minimize an expensive cost 
function in R^4 and I was surprised that the function 
gsl_multimin_fdfminimizer_iterate() would take so long to return. I found out 
it was because the line minimization routine was testing many smaller and 
smaller steps (up to 10^-186 !!, which I believe is totally unnecessary in any 
practical situation).


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