Skip to content

Add an internal parameter "outer_mineval_xftol" for mma/ccsaq. #594

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
madosqr wants to merge 2 commits into
base: master
Choose a base branch
from
Open

Add an internal parameter "outer_mineval_xftol" for mma/ccsaq. #594

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
b2fdf4f
Add an internal parameter "outer_mineval_xftol" for mma/ccsaq.
madosqr Feb 21, 2025
792e0fb
Add description for "outer_mineval_xftol" in the document.
madosqr Feb 21, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
1 change: 1 addition & 0 deletions doc/docs/NLopt_Algorithms.md
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -337,6 +337,7 @@ specified using the [`nlopt_set_param` API](NLopt_Reference.md#algorithm-specifi
* `dual_algorithm` (defaults to `NLOPT_LD_MMA`), `dual_ftol_rel` (defaults to `1e-14`), `dual_ftol_abs` (defaults to `0`), `dual_xtol_rel` (defaults to `0`), `dual_xtol_abs` (defaults to `0`), `dual_maxeval` (defaults to `100000`): These specify how the algorithm internally solves the "dual" optimization problem for its approximate objective. Because this subsidiary solve requires no evaluations of the user's objective function, it is typically fast enough that we can solve it to high precision without worrying too much about the details. Howeve,r in high-dimensional problems you may notice that MMA/CCSA is taking a long time between optimization steps, in which case you may want to increase `dual_ftol_rel` or make other changes. If these parameters are not specified, NLopt takes them from the [subsidiary-optimizer algorithm](NLopt_Reference.md#localsubsidiary-optimization-algorithm) if that has been specified, and otherwise uses the defaults indicated here.
* `verbosity`: If > 0, causes the algorithm to print internal status information on each iteration.
* `rho_init`: if specified, should be a rough upper bound for the second derivative (the biggest eigenvalue of the Hessian of the objective or constraints); defaults to `1.0`. CCSA/MMA will adaptively adjust this as the optimization progresses, so even it if `rho_init` is completely wrong the algorithm will still converge. A `rho_init` that is too large will cause the algorithm to take overly small steps at the beginning, while a `rho_init` that is too small will cause it to take overly large steps (and have to backtrack) at the beginning. Similarly, you can also use the "initial stepsize" option ([NLopt reference](NLopt_Reference.md#initial-step-size)) to control the maximum size of the initial steps (half the diameter of the trust region).
* `outer_mineval_xftol`: When the outer iteration step of MMA/CCSA is less than `outer_mineval_xftol`, the stopping criteria of `xtol` and `ftol` are disabled. This is quite useful in some optimization problems where there is a "startup" process during which *x* and *f* change slowly. The default value of `outer_mineval_xftol` is `0`.

### SLSQP

Expand Down
6 changes: 3 additions & 3 deletions src/algs/mma/ccsa_quadratic.c
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -218,7 +218,7 @@ nlopt_result ccsa_quadratic_minimize(
double *x, /* in: initial guess, out: minimizer */
double *minf,
nlopt_stopping *stop,
nlopt_opt dual_opt, int inner_maxeval, unsigned verbose, double rho_init,
nlopt_opt dual_opt, int inner_maxeval, int outer_mineval_xftol, unsigned verbose, double rho_init,
const double *sigma_init)
{
nlopt_result ret = NLOPT_SUCCESS;
Expand Down Expand Up @@ -523,9 +523,9 @@ nlopt_result ccsa_quadratic_minimize(
printf(" CCSA rhoc[%u] -> %g\n", i,rhoc[i]);
}

if (nlopt_stop_ftol(stop, fcur, fprev))
if (k >= outer_mineval_xftol && nlopt_stop_ftol(stop, fcur, fprev))
ret = NLOPT_FTOL_REACHED;
if (nlopt_stop_x(stop, xcur, xprev))
if (k >= outer_mineval_xftol && nlopt_stop_x(stop, xcur, xprev))
ret = NLOPT_XTOL_REACHED;
if (ret != NLOPT_SUCCESS) goto done;

Expand Down
6 changes: 3 additions & 3 deletions src/algs/mma/mma.c
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -148,7 +148,7 @@ nlopt_result mma_minimize(unsigned n, nlopt_func f, void *f_data,
double *x, /* in: initial guess, out: minimizer */
double *minf,
nlopt_stopping *stop,
nlopt_opt dual_opt, int inner_maxeval, unsigned verbose, double rho_init,
nlopt_opt dual_opt, int inner_maxeval, int outer_mineval_xftol, unsigned verbose, double rho_init,
const double *sigma_init)
{
nlopt_result ret = NLOPT_SUCCESS;
Expand Down Expand Up @@ -375,9 +375,9 @@ nlopt_result mma_minimize(unsigned n, nlopt_func f, void *f_data,
printf(" MMA rhoc[%u] -> %g\n", i,rhoc[i]);
}

if (nlopt_stop_ftol(stop, fcur, fprev))
if (k >= outer_mineval_xftol && nlopt_stop_ftol(stop, fcur, fprev))
ret = NLOPT_FTOL_REACHED;
if (nlopt_stop_x(stop, xcur, xprev))
if (k >= outer_mineval_xftol && nlopt_stop_x(stop, xcur, xprev))
ret = NLOPT_XTOL_REACHED;
if (ret != NLOPT_SUCCESS) goto done;

Expand Down
4 changes: 2 additions & 2 deletions src/algs/mma/mma.h
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -40,7 +40,7 @@ nlopt_result mma_minimize(unsigned n, nlopt_func f, void *f_data,
double *x, /* in: initial guess, out: minimizer */
double *minf,
nlopt_stopping *stop,
nlopt_opt dual_opt, int inner_maxeval, unsigned verbose, double rho_init,
nlopt_opt dual_opt, int inner_maxeval, int outer_mineval_xftol, unsigned verbose, double rho_init,
const double *sigma_init);

nlopt_result ccsa_quadratic_minimize(
Expand All @@ -53,7 +53,7 @@ nlopt_result ccsa_quadratic_minimize(
double *x, /* in: initial guess, out: minimizer */
double *minf,
nlopt_stopping *stop,
nlopt_opt dual_opt, int inner_maxeval, unsigned verbose, double rho_init,
nlopt_opt dual_opt, int inner_maxeval, int outer_mineval_xftol, unsigned verbose, double rho_init,
const double *sigma_init);

#ifdef __cplusplus
Expand Down
5 changes: 3 additions & 2 deletions src/api/optimize.c
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -796,6 +796,7 @@ static nlopt_result nlopt_optimize_(nlopt_opt opt, double *x, double *minf)
case NLOPT_LD_CCSAQ:
{
int inner_maxeval = (int)nlopt_get_param(opt, "inner_maxeval",0);
int outer_mineval_xftol = (int)nlopt_get_param(opt, "outer_mineval_xftol", 0);
int verbosity = (int)nlopt_get_param(opt, "verbosity",0);
double rho_init = nlopt_get_param(opt, "rho_init",1.0);
nlopt_opt dual_opt;
Expand All @@ -817,9 +818,9 @@ static nlopt_result nlopt_optimize_(nlopt_opt opt, double *x, double *minf)
nlopt_set_maxeval(dual_opt, (int)nlopt_get_param(opt, "dual_maxeval", LO(maxeval, 100000)));
#undef LO
if (algorithm == NLOPT_LD_MMA)
ret = mma_minimize(n, f, f_data, opt->m, opt->fc, lb, ub, x, minf, &stop, dual_opt, inner_maxeval, (unsigned)verbosity, rho_init, opt->dx);
ret = mma_minimize(n, f, f_data, opt->m, opt->fc, lb, ub, x, minf, &stop, dual_opt, inner_maxeval, outer_mineval_xftol, (unsigned)verbosity, rho_init, opt->dx);
else
ret = ccsa_quadratic_minimize(n, f, f_data, opt->m, opt->fc, opt->pre, lb, ub, x, minf, &stop, dual_opt, inner_maxeval, (unsigned)verbosity, rho_init, opt->dx);
ret = ccsa_quadratic_minimize(n, f, f_data, opt->m, opt->fc, opt->pre, lb, ub, x, minf, &stop, dual_opt, inner_maxeval, outer_mineval_xftol, (unsigned)verbosity, rho_init, opt->dx);
nlopt_destroy(dual_opt);
return ret;
}
Expand Down