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Hello,
To find out stability of the solution you should perform small
exhaustive search near the solution point (it could be as small as +/- one
step
in each dimension)
Without that it is just guessing.
Best
regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Saturday, August 09, 2008 9:44
PM
Subject: Re: [amibroker] CMAE
question
Thank you TJ - Would you mind answering one more
question about the results? Suppose I am optimizing on CAR. And when the
CMAE opt is done, the first line shows 200%, followed by a bunch of lines
at 100% with closely related params. In exhaustive opt, I would
ignore the 200% in favor of all the 100%'s. In CMAE opt, does the fact
that it returned one 200% line mean that it has found some sort of a plateau
around those param values - i.e., would you consider trying those param values
going forward? Thanks very much!
Steve
----- Original Message -----
Sent: Saturday, August 09, 2008 3:24
PM
Subject: Re: [amibroker] CMAE
question
Hello,
Zero as default is good. In that case internally it is set
to 900 * square of ( number of params + 3 ).
As for Runs you should never go beyond 10 because of
exponential growth of search space.
Runs 31 means 2^31 (=2147483648 ) times larger search.
Makes no sense.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Saturday, August 09, 2008 8:52
PM
Subject: Re: [amibroker] CMAE
question
Hi TJ - I read in the ReadMe that the default
for MaxEval is 0, and it is advised not to change it. If I define it
myself as 0, is that different from not defining it at all and just
accepting the default?
Yes, I read that it is advised not to go over
10 runs, but in experimenting, Runs = 31 and MaxEval = 0 seems to
return quite good and consistant results whereas 5 or 10 runs seems
hit-or-miss and results can vary quite a bit. But maybe I am screwing
things up by defining Runs as 0?
Steve
----- Original Message -----
Sent: Saturday, August 09, 2008
2:29 PM
Subject: Re: [amibroker] CMAE
question
Hello,
This is entirely wrong combination of
params.
MaxEval should be AT LEAST 2000. Runs should NEVER be
set to anything greater than 10, with 5 being resonable
max.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Saturday, August 09, 2008
8:03 PM
Subject: [amibroker] CMAE
question
Hi - I am playing around with the CMAE
opt engine. MaxEval is set to 0 by me (instead of just accepting
default). For Runs, if I enter any number up to 31, it will warn me
about taking lots of time, and at 31 runs it says I have about
1.5B opt steps. If I enter any any number > 31, it may or may not
warn me, and when it doesn't warn me, behavior of the progress box
appears different. Am I overflowing the max allowed opt steps? Is
there some limit to this algorithm? Any other thoughts why things are
different sometimes? Thanks very much!
Steve
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