Common Solver Options (Solve Keyword Arguments)

solve(prob::OptimizationProblem, alg::AbstractOptimizationAlgorithm, args...; kwargs...)

Keyword Arguments

The arguments to solve are common across all of the optimizers. These common arguments are:

• maxiters: the maximum number of iterations
• maxtime: the maximum amount of time (typically in seconds) the optimization runs for
• abstol: absolute tolerance in changes of the objective value
• reltol: relative tolerance in changes of the objective value
• callback: a callback function

Some optimizer algorithms have special keyword arguments documented in the solver portion of the documentation and their respective documentation. These arguments can be passed as kwargs... to solve. Similarly, the special keyword arguments for the local_method of a global optimizer are passed as a NamedTuple to local_options.

Over time, we hope to cover more of these keyword arguments under the common interface.

If a common argument is not implemented for a optimizer, a warning will be shown.

Callback Functions

The callback function callback is a function which is called after every optimizer step. Its signature is:

callback = (state, loss_val) -> false

where state is a OptimizationState and stores information for the current iteration of the solver and loss_val is loss/objective value. For more information about the fields of the state look at the OptimizationState documentation. The callback should return a Boolean value, and the default should be false, such that the optimization gets stopped if it returns true.

Callback Example

Here we show an example a callback function that plots the prediction at the current value of the optimization variables. The loss function here returns the loss and the prediction i.e. the solution of the ODEProblemprob, so we can use the prediction in the callback.

function predict(u)
    Array(solve(prob, Tsit5(), p = u))
end

function loss(u, p)
    pred = predict(u)
    sum(abs2, batch .- pred), pred
end

callback = function (state, l; doplot = false) #callback function to observe training
    display(l)
    # plot current prediction against data
    if doplot
        pred = predict(state.u)
        pl = scatter(t, ode_data[1, :], label = "data")
        scatter!(pl, t, pred[1, :], label = "prediction")
        display(plot(pl))
    end
    return false
end

If the chosen method is a global optimizer that employs a local optimization method, a similar set of common local optimizer arguments exists. Look at MLSL or AUGLAG from NLopt for an example. The common local optimizer arguments are:

• local_method: optimizer used for local optimization in global method
• local_maxiters: the maximum number of iterations
• local_maxtime: the maximum amount of time (in seconds) the optimization runs for
• local_abstol: absolute tolerance in changes of the objective value
• local_reltol: relative tolerance in changes of the objective value
• local_options: NamedTuple of keyword arguments for local optimizer