Hessian code incorrect for maximize

[dgleich]

This code which is

    fmax = x->-f(x)
    gmax = (G,x)->(g(G,x); G.=-G)
    hmax = (H,x)->(h(G,x); H.=-H)
    MaximizationWrapper(optimize(fmax, gmax, hmax, x0, method, options; kwargs...))
end

has a typo in the Hessian.

In case you need to reproduce, this works:

f(x) = -(1.0 - x[1])^2 - 100.0 * (x[2] - x[1]^2)^2
  function g!(G, x)
    G[1] = -1*(-2.0 * (1.0 - x[1]) - 400.0 * (x[2] - x[1]^2) * x[1])
    G[2] = -200.0 * (x[2] - x[1]^2)
  end
  function H!(H, x)
    H[1, 1] = -2.0 + 800.0 * x[1]^2 + 400.0 * x[2]
    H[1, 2] = 400.0 * x[1]
    H[2, 1] = 400.0 * x[1]
    H[2, 2] = -200.0
  end 

x0 = [0.0, 0.0]
soln = maximize(f, g!, H!, x0, Newton())

throws the following error

julia> soln = maximize(f, g!, H!, x0, Newton())
ERROR: UndefVarError: `G` not defined
Stacktrace:
  [1] (::Optim.var"#147#150"{typeof(H!)})(H::Matrix{Float64}, x::Vector{Float64})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/maximize.jl:41
  [2] hessian!!(obj::TwiceDifferentiable{Float64, Vector{Float64}, Matrix{Float64}, Vector{Float64}}, x::Vector{Float64})
    @ NLSolversBase ~/.julia/packages/NLSolversBase/kavn7/src/interface.jl:95
  [3] initial_state(method::Newton{…}, options::Optim.Options{…}, d::TwiceDifferentiable{…}, initial_x::Vector{…})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/multivariate/solvers/second_order/newton.jl:46
  [4] optimize
    @ ~/.julia/packages/Optim/ZhuZN/src/multivariate/optimize/optimize.jl:36 [inlined]
  [5] #optimize#94
    @ ~/.julia/packages/Optim/ZhuZN/src/multivariate/optimize/interface.jl:163 [inlined]
  [6] optimize
    @ ~/.julia/packages/Optim/ZhuZN/src/multivariate/optimize/interface.jl:158 [inlined]
  [7] maximize(f::var"#52#53", g::typeof(g!), h::typeof(H!), x0::Vector{…}, method::Newton{…}, options::Optim.Options{…}; kwargs::@Kwargs{})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/maximize.jl:42
  [8] maximize(f::Function, g::Function, h::Function, x0::Vector{…}, method::Newton{…}, options::Optim.Options{…})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/maximize.jl:38
  [9] maximize
    @ ~/.julia/packages/Optim/ZhuZN/src/maximize.jl:38 [inlined]
 [10] maximize(f::Function, g::Function, h::Function, x0::Vector{…}, method::Newton{…})
    @ TechnicalCompute ~/Dropbox/dev/TechnicalCompute/src/overrides.jl:1747
 [11] top-level scope
    @ REPL[889]:1
Some type information was truncated. Use `show(err)` to see complete types.

[pkofod]

Oh, interesting. Thank you

Edit: seems like only the maximize(f, x, ...) methods were tested.

[pkofod]

The fix is on master. I'll release soon.

[dgleich]

Thanks for handling it so promptly!!