You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
The way this function shrinks the bracket size is not entirely satisfactory at the moment.
In particular, the methods often shrinks the bracket when fitting central quantiles, but the optimal
log(sigma) oscillates quite a lot when extreme quantiles are considered. Hence, using a narrow bracket
for extreme quantiles is inefficient.
In addition, the algorithm does not recognise immediately that the bracket is too narrow, because it
does not look at derivative at the limits of the bracket. What happens is that, when the bracket is too narrow, the algorithms slowly moves toward the one end of the bracket, wasting quite a lot of function evaluations in that way.
The text was updated successfully, but these errors were encountered:
now inside Brent() we monitor if we are getting too close to the boundary and, if we are too close, we exit. tuneLearnFast will then enlarge and shift the bracket.
The way this function shrinks the bracket size is not entirely satisfactory at the moment.
In particular, the methods often shrinks the bracket when fitting central quantiles, but the optimal
log(sigma) oscillates quite a lot when extreme quantiles are considered. Hence, using a narrow bracket
for extreme quantiles is inefficient.
In addition, the algorithm does not recognise immediately that the bracket is too narrow, because it
does not look at derivative at the limits of the bracket. What happens is that, when the bracket is too narrow, the algorithms slowly moves toward the one end of the bracket, wasting quite a lot of function evaluations in that way.
The text was updated successfully, but these errors were encountered: