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Allow setting epsilon #9

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disacrol opened this issue Apr 1, 2022 · 4 comments
Open

Allow setting epsilon #9

disacrol opened this issue Apr 1, 2022 · 4 comments

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@disacrol
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disacrol commented Apr 1, 2022

https://github.com/skew-opensource/slsqp4j/blob/443dfb3e45e684385fdde30a5790db80cfa64cbb/slsqp4j/src/main/java/com/skew/slsqp4j/Jacobian.java#L51

Could this be editable? Have a use case for this algorithm where this default value is too small to work.
Or is there a different, more adequate way to effectively use a different "epsilon" value?

@jamesasefa
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This value is machine-specific, curious why it would be too small to work? It just represents the h value in the standard derivative formula needed to calculate the Jacobian:

aae79a56cdcbc44af1612a50f06169b07f02cbf3

@disacrol
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disacrol commented Apr 4, 2022

Problem is in a scenario where the objective function is not a closed-form expression - instead it corresponds to the concatenation of several independent blocks, and the final results do not change with such small epsilon value in the Jacobian formula you mention there.

@jamesasefa
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Hi @disacrol this should be doable. I'd welcome a PR from you that allowed setting epsilon!

@disacrol
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@jamesasefa I am onto it. But I'll take the chance to revert again the changes done by @pkernevez in PR #12.
Otherwise I won't be able to proceed as I work on windows.
For more details check Issue #15.

Thanks,

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