what is a reasonable step tolerance for optimization algorithms if parameters are in the range [0,1]?
11 vues (au cours des 30 derniers jours)
My parameters are bounded from below by zero and from above by roughly one.
I recently worked with a quite small step tolerence of 1e-12, but I think the default value of 1e-6 would be fine as well.
Or should the step tolerance not exclusively be determined from the order of magnitude of the parameters?
Bruno Luong le 2 Mar 2023
Your question is not clear enough. the official doc explains how it eaxctly works
"StepTolerance is a lower bound on the size of a step, meaning the norm of (xi – xi+1). If the solver attempts to take a step that is smaller than StepTolerance, the iterations end. StepTolerance is generally used as a relative bound, meaning iterations end when |(xi – xi+1)| < StepTolerance*(1 + |xi|), or a similar relative measure. See Tolerance Details."
The written equation can be viwed as some sort of relative tolerance, unless the optimum soluion is close to 0 then it can be viewed as absolute tolerance.