[Octave-bug-tracker] [bug #55263] fminsearch not converging well

[Rik]

Follow-up Comment #4, bug #55263 (project octave):

"This algorithm is better-suited to functions which have discontinuities"
refers to the alternative, a gradient-based search such as fminunc which works
best on continuous functions that, ideally, also have continuous first and
second derivatives. 

Unfortunately, "better-suited" does not imply that it will work on all
functions with discontinuities.  The original academic paper and code
implementation are from N.J. Higham.  It is possible that the implementation
in Octave is incorrect, but the comments in the code suggest that the
implementation was taken directly from Higham with modifications done only for
Octave syntax.  As another reference point, Matlab's implementation of the
algorithm performs even worse.

Hence, I don't think it is the translation of the algorithm to code that is
the problem, but the actual algorithm itself.  There may be tunable
parameters, such as the size of the contract and expand steps, which would
make a difference.  You might run some experiments on tweaking that portion of
the algorithm.  If you were successful, there would also need to be an
accompanying theoretical justification before changing the existing
parameters.

Depending on your inclination, this sort of improvement to a base optimization
algorithm could form the basis of an academic paper. 


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