Hi James,
Surrogateopt reset criteria depends on the "expected reduction of objective function value" assuming the incumbent is feasible. This is one of the criteria which seems to be interfering with your expected behavior.
How is the "improvement" calculated?
delta_fval = abs( f(x_incumbent) - f(x_trial))
Assuming we decrease the function value, is the delta_fval good enough to keep going?
delta_fval > options.ObjectiveImprovementThreshold * max(1, abs(f(x_incumbent)))
If this check is TRUE then the solver thinks it is improving and it keeps going. if this check fails consecutively for "options.MaxStallIterations", the solver will reset.
The option "ObjectiveImprovementThreshold" and 'MaxStallIterations" are hidden but settable.
What can you do now? Three things (do one or more)
- The default value of ObjectiveImprovementThreshold is 1e-6. You can set this value lower just like any other options setting. This is hidden so it will not show it value.
- MaxStallIterations default is 10*numberofvariables. You can set this to a lower value if you want. This is hidden so it will not show it value.
- The second factor is the scale of the function value. If f(x_incumbent) is very high then the improvement is a product of this value and the ObjectiveImprovementThreshold. You can scale your function as an alternative too.
The other criteria is when the solver cannot create enough distinct points and that's where MinSampleDistance is used. I agree with you that you don't want to play with this as the first choice. This criteria may suffer from scaling of design variables X where one value with a bigger scale can dominate the distance. See if the design varibales are poorly scaled or not.
just like MinSampleDistance, these two options are not state-dependent.
The 'expected reduction" cannot be too loose otherwise we can have poor solution accuracy. Please keep in mind that the default values for these options are set to ensure accuracy of the solution. I do understand that there is no easy way to control this critera at the moment. I will work to make this a settable option in future.
Thanks,
Rakesh
