How to exit an optimization function without error?

Question

Sargondjani 2023-11-6

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https://ww2.mathworks.cn/matlabcentral/answers/2043422-how-to-exit-an-optimization-function-without-error

评论： Sam Chak 2023-11-6

I am using fsolve at two stages: first it finds the solution for problem A, and this solution is then used to solve problem B.

Sometimes it cannot find a solution for problem A, and then for sure i can not solve problem B, so I want fsolve (for B) to exit whenever problem A returns an exitflag < 1. How do I do this?

So far I only found that you can have the objective return an "inf" but then it will still try to backtrack, and waste time and resources. I would prefer to have something like:

if somecondition
    exit fsolve
end

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Answer 1

Sam Chak 2023-11-6

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https://ww2.mathworks.cn/matlabcentral/answers/2043422-how-to-exit-an-optimization-function-without-error#answer_1347302

编辑：Sam Chak 2023-11-6

在 MATLAB Online 中打开

Hi @Sargondjani

Can use return.

Update: Editted the solution by using the function approach.

%% Solving Stage A Problem first
fun1 = @problem1;
x0   = 1;
[xsol1, fval, exitflag] = fminsearch(fun1, x0)
 
Exiting: Maximum number of function evaluations has been exceeded
         - increase MaxFunEvals option.
         Current function value: -4017345110647497376329610801883911649791527634988546654208.000000 
xsol1 = 6.3383e+28
fval = -4.0173e+57
exitflag = 0
%% Test if the solution from Stage A is admissible
if exitflag <= 0
    warning('Terminated due Stage A problem is infeasible.')
    return  % stop if condition is satisfied
else
    %% Solving Stage B Problem then
    fun2  = @(x) problem2(x, xsol1);
    x0    = 1;
    xsol2 = fsolve(fun2, x0)
end
Warning: Terminated due Stage A problem is infeasible.
%% Stage A Problem
function y = problem1(x)
    y = - x.^2;                 % infeasible
    % y = 1 - x.*exp(-x.^2);    % feasible
end
%% Stage B Problem
function y = problem2(x, xsol)  % cost function requires xsol from Stage A
    y = x.^2 + 2*x + xsol;
end

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Sargondjani 2023-11-6

在 MATLAB Online 中打开

@Sam Chak thanks again for the update. but your structure is different from mine. You have sequential fsolve: when the first one fails, you simply skip the second. @Dyuman Joshi in my case problem1 is inside problem2. it should abort problem2 solving, when problem1 fails.

[x2,~,exitflag2] = fsolve(@(x2)problem2(x2,x1_ini),x2_ini)
%% Problem2 (which includes solving problem1)
function [res2] = problem2(x2,x1_ini)
[x1,~,exitflag1] = fsolve(@(x1)problem1(x1,x2),x1_ini)
if exitflag1 < 1
    %i want to exit problem2 when this is trye
end
res2 = ....
    
end
%% Solving problem1 depends on x2
function [res1] = problem1(x1,x2)
res1 = ...
end

I have found a work around:

define a 'OutputFcn' with the following block:

function stop = output_fun_aggr(x,optimValues,state)
stop = false;
if optimValues.fval == 1e6
    stop = true;
end
end

and then inside problem2 set:

function [res2] = problem2(x2,x1_ini)
[x1,~,exitflag1] = fsolve(@(x1)problem1(x1,x2),x1_ini)
if exitflag1 < 1
    res2     = 1e6;% it seems this cannot be Inf or NaN because then fsolve throws an error
else
    res2 = ...
end
    
end

The weird thing is that it seems the assigned value cannot be Inf or NaN because then fsolve throws an error (as described earlier).

Sargondjani 2023-11-6

but i need to solve x1 for every value of x2, meaning when x2 changes, so will x1. your approach does not allow for that.

Sam Chak 2023-11-6

Okay, I got it now. It's a coupled interdependent problem. Need some time to think.

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How to exit an optimization function without error?

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