Optimize and High number of parameters

Posted By: ealvarpe

Optimize and High number of parameters - 01/20/18 18:22

Whenever I try to optimize a parameter with more than 1000 possible values I get the same error at the 1000th parameter:

"wrong number or range"

does someone know why is this? I´ve tried to optimize 1000 each time and all the possible values works, only failing when the range is higher than 1000.

Also, is there any way to do hyper parameter optimization?
And also, mixing more than 1 parameter. From what I´ve seen if more than 1 parameters, they´re optimized individually, but never all the possible combinations.
Posted By: Dalla

Re: Optimize and High number of parameters - 01/21/18 06:26

As per the manual, you can set the MAX_STEPS variable in trading.h to increase the max steps. That value is 1000 by default.

Regarding hyper parameter optimization, no, not that I know. You would need to resort to using R bridge and caret or some similar package.

Last question, this is also described in the manual.
"For optimizing any combination of two parameters - the "brute force" optimization method, see example below - optimize a single number that is the product of two array sizes. Divide it then back into two separate indices to two parameter arrays. For instance, let optimize return a value from 0 to 99, and use its first digit (((int)val)/10) as an index for the first array, and its second (((int)val)%10) for the second array."

As an alternative to this, there is a community member who created a "Z Optimizer" that does this as well. I have not tried it myself, but you can find it in the download section http://zorro-project.com/download.php
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