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any trick to stop fminsearch early?

Asked by Jeff Miller on 17 Nov 2019 at 8:53
Latest activity Commented on by Jeff Miller on 17 Nov 2019 at 13:13
I am using fminsearch to minimize an error score in fitting a model to many, many data sets.
Often, the error score gets close enough to zero for my purposes, and at that point I'd like fminsearch to stop and go on to the next data set.
Unfortunately, I can't find choices for TolX and TolFun (nor maximum function evaluations, etc) that will reliably stop if and only if the total error score is low enough.
So, my question is whether there is some other way to get fminsearch to stop when my objective function detects that a low enough overall error has been achieved?
Thanks for any suggestions.

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2 Answers

Answer by Thiago Henrique Gomes Lobato on 17 Nov 2019 at 11:00
Edited by Thiago Henrique Gomes Lobato on 17 Nov 2019 at 11:07
 Accepted Answer

Yes, there is, you can pass an output function and change the optimization state as soon as your error gets the threshold that you want. Here is a very simple example adapated from the one at mathworks (https://de.mathworks.com/help/matlab/math/output-functions.html) that does what you want and it is also very useful to visualize the stop criteria working:
function [x fval historyT] = myproblem(x0)
historyT = [];
options = optimset('OutputFcn', @myoutput);
[x fval] = fminsearch(@objfun, x0,options);
function stop = myoutput(x,optimvalues,state);
stop = false;
% This block here
AcceptableError = 0.02;
if optimvalues.fval<AcceptableError
state = 'done';
end
if isequal(state,'iter')
historyT = [historyT; x];
end
end
function z = objfun(x)
z = exp(x(1))*(4*x(1)^2+2*x(2)^2+x(1)*x(2)+2*x(2));
end
end
If I then call the funciton, I get:
[x fval history] = myproblem([-1 1])
size(history,1)
ans =
15
While if I comment the stop criteria:
% This block here
% AcceptableError = 0.02;
% if optimvalues.fval<AcceptableError
% state = 'done';
% end
[x fval history] = myproblem([-1 1])
size(history,1)
ans =
48

  1 Comment

Jeff Miller on 17 Nov 2019 at 13:10
Thanks very much for this detailed answer. For my case, it was sufficient to use:
StopIfErrorSmall = @(x,optimvalues,state) optimvalues.fval<.01;
thisDist.SearchOptions = optimset('OutputFcn',StopIfErrorSmall);

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Answer by Walter Roberson
on 17 Nov 2019 at 11:02

fminsearch permits options that include Outputfcn and that function can signal to terminate.

  1 Comment

Jeff Miller on 17 Nov 2019 at 13:13
Thanks. Yes, OutputFcn lets me do what I want.

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