_spg_optim returns history of objective function values #1856

merged 1 commit into from Aug 1, 2014


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This PR attaches the sequence of all objective function values visited by _spg_optim to the results that it returns. It also adds tests for the convergence status of cor_nearest_factor.

@kshedden kshedden _spg_optim returns history of objective function values

I was also trying out different things today, but didn't see anything that would be a likely cause.
ARPACK svds on Ubuntu 32 might need to be checking.
I was trying out different starting values and different lam_min and lam_max.

One thing I also added in my version is to check the number of iterations:
adding 'iterations': itr to the return Bunch in _spg_optim.

I was a bit surprised that it takes around 1000 iterations.

@josef-pkt josef-pkt added the PR label Aug 1, 2014

I'm merging this as another trial to figure out what's going on.
(I didn't have time to add my changes.)

possible problems
start value: uses ARPACK svds which changed across scipy versions
convergence criterium: When I was fiddling with lam_min and lam_max, the iterations stopped too early. (not sure whether it was supposed to or not)

@josef-pkt josef-pkt merged commit b257c7c into statsmodels:master Aug 1, 2014

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@josef-pkt josef-pkt added the type-test label Aug 24, 2014
@josef-pkt josef-pkt added this to the 0.6 milestone Aug 24, 2014
@kshedden kshedden deleted the kshedden:cor_nearest_maint2 branch Sep 27, 2014
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