[Minuit2] Allow setting the Hesse strategy flags individually - #23053
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guitargeek wants to merge 1 commit into
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[Minuit2] Allow setting the Hesse strategy flags individually#23053guitargeek wants to merge 1 commit into
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HessianCentralFDMixedDerivatives and HessianForcePosDef could only be reached by asking for strategy 3, which also zeroes the Hessian step and G2 tolerances, forces all 7 refinement cycles and inherits strategy 2's Migrad behaviour: four unrelated changes behind a single integer. The central finite difference for the mixed second derivatives is the part that matters on ill-conditioned problems. With the default one-sided formula the O(h) truncation error is proportional to the third derivative times the step size of the *other* parameter, so on a likelihood whose curvatures span several orders of magnitude it can be large enough to make an otherwise positive-definite Hessian indefinite. MnPosDef then patches the covariance and the parameter errors that come out of it are wrong. Route both flags through customizedStrategy(), like the other strategy tunables, so they can be set by name through the "Minuit2" extra options of ROOT::Math::MinimizerOptions without paying for the rest of strategy 3.
Test Results 23 files 23 suites 3d 13h 10m 26s ⏱️ For more details on these failures, see this check. Results for commit c31b379. |
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HessianCentralFDMixedDerivatives and HessianForcePosDef could only be reached by asking for strategy 3, which also zeroes the Hessian step and G2 tolerances, forces all 7 refinement cycles and inherits strategy 2's Migrad behaviour: four unrelated changes behind a single integer.
The central finite difference for the mixed second derivatives is the part that matters on ill-conditioned problems. With the default one-sided formula the O(h) truncation error is proportional to the third derivative times the step size of the other parameter, so on a likelihood whose curvatures span several orders of magnitude it can be large enough to make an otherwise positive-definite Hessian indefinite. MnPosDef then patches the covariance and the parameter errors that come out of it are wrong.
Route both flags through customizedStrategy(), like the other strategy tunables, so they can be set by name through the "Minuit2" extra options of ROOT::Math::MinimizerOptions without paying for the rest of strategy 3.