I think we should definitely make the switch. After a two months of playing around with it I find that many mod-files encountered in the forum profit from it. The trust-region particularly performs better when people estimate models but only have initvals from calibration.
Am 21.02.2014 16:03, schrieb Sébastien Villemot:
Le mercredi 05 février 2014 à 16:43 +0100, Michel Juillard a écrit :
I think that we can change the default and put a note on the Forum asking for return of experiments with the new algorithm. I don't have a problem that would be a good case, but we should try to get some.
I re-ran the testsuite with the trust region as default and the only issue is with tests/expectations/expectation.mod. The initial values are far from the solution (they are actually at mid-point between zero and the solution), and the Jacobian is singular at that initial point. Curiously the trust region fails with that starting point, but succeeds after a small perturbation of the initial point that makes the Jacobian non-singular.
I am quite surprised by this result, because I thought the point of trust region was precisely to avoid that kind of situation. Maybe this is a very pathological case.
However note that this does not mean that the trust region performs worse than the newton. By construction, all the examples in the testsuite have been made to work with the newton.
Considering the above, do you still think I should make the switch? As I said, the problematic MOD file can easily be fixed.
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