Thanks, this is a bug; in that case the original SLSQP had an
additional ftol convergence check, but not an xtol convergence check
(since I added the xtol stuff in NLopt). This will be fixed in the
next release, but for now a workaround is to use a nonzero ftol with
SLSQP.
(In general, as mentioned in the manual, a ROUNDOFF_LIMITED return
value still typically corresponds to a useful optimization result; at
worst it is less precise than you requested.)
A patch that adds the missing xtol check is attached below.
Steven
--- old-nlopt_0/slsqp/slsqp.c 2011-01-13 10:20:54.000000000 -0500
+++ new-nlopt_0/slsqp/slsqp.c 2011-01-13 10:20:55.000000000 -0500
@@ -1775,6 +1775,7 @@
double alpha;
int iexact;
int incons, ireset, itermx;
+ double *x0;
} slsqpb_state;
#define SS(var) state->var = var
@@ -2416,6 +2417,7 @@
slsqpb_(m, meq, la, n, &x[1], &xl[1], &xu[1], f, &c__[1], &g[1],
&a[
a_offset], acc, iter, mode, &w[ir], &w[il], &w[ix], &w[im],
&w[is]
, &w[iu], &w[iv], &w[iw], &jw[1], state);
+ state->x0 = &w[ix];
return;
} /* slsqp_ */
@@ -2436,7 +2438,7 @@
double *x, double *minf,
nlopt_stopping *stop)
{
- slsqpb_state state = {0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};
+ slsqpb_state state = {0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,NULL};
unsigned mtot = nlopt_count_constraints(m, fc);
unsigned ptot = nlopt_count_constraints(p, h);
double *work, *cgrad, *c, *grad, *w,
@@ -2565,17 +2567,22 @@
break;
case 8: /* positive directional derivative for linesearch */
/* relaxed convergence check for a feasible_cur point,
- as in the SLSQP code */
+ as in the SLSQP code (except xtol as well as ftol) */
ret = NLOPT_ROUNDOFF_LIMITED; /* usually why deriv>0 */
if (feasible_cur) {
double save_ftol_rel = stop->ftol_rel;
+ double save_xtol_rel = stop->xtol_rel;
double save_ftol_abs = stop->ftol_abs;
stop->ftol_rel *= 10;
stop->ftol_abs *= 10;
+ stop->xtol_rel *= 10;
if (nlopt_stop_ftol(stop, fcur, state.f0))
ret = NLOPT_FTOL_REACHED;
+ else if (nlopt_stop_x(stop, xcur, state.x0))
+ ret = NLOPT_XTOL_REACHED;
stop->ftol_rel = save_ftol_rel;
stop->ftol_abs = save_ftol_abs;
+ stop->xtol_rel = save_xtol_rel;
}
goto done;
case 5: /* singular matrix E in LSQ subproblem */
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