Only exit SLSQP successfully if solution is feasible #465
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Previously, it could stop on ftol or xtol termination criteria, even if some constraints are still blatantly violated. This fixes stevengj#368.
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looks good to me |
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Hi @stevengj , thanks for this excellent library which I value greatly! I've been experiencing this exact problem too with SLSQP, but I notice the fix hasn't been released yet on PyPI. Is it possible another release could be generated to incorporate this? Many thanks. |
edwintorok
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SLSQP was giving the wrong answer on the tutorial in 't_python.py': ``` optimum at [0.50777849 4.76252907] minimum value = 2.182321944309753 ``` instead of: ``` optimum at [0.33333333 0.29629629] minimum value = 0.5443310523133087 ``` Slightly tweaking the function (e.g. to use repeated multiplication instead of pow), or increasing xtol_rel to 1e-9 made it find the answer. But the bogus optimum and real optimum are different by more than xtol_rel. Printing the function evaluations show that it reaches xtol_rel at an infeasible point, and then returns the last feasible point: ``` f(0.337085195789626, 0.287031459045266)=0.535753169888211 c(0.337085195789626, 0.287031459045266)=0.019382838080164 c(0.337085195789626, 0.287031459045266)=0.004290454106768 f(0.337085195789626, 0.287031459045266)=0.535753169888211 c(0.337085195789626, 0.287031459045266)=0.019382838080164 c(0.337085195789626, 0.287031459045266)=0.004290454106768 optimum at [0.50777849 4.76252907] minimum value = 2.182321944309753 result code = 4 nevals = 22 ``` Fix this by checking xtol_rel on mode==-1 only if the current point is feasible, not when any previous point was feasible (which matches how the original SLSQP's stopping condition was, and how the other xtol_rel check is done in this same function). Now the search continues and finds the correct answer: ``` f(0.337085195789626, 0.287031459045266)=0.535753169888211 c(0.337085195789626, 0.287031459045266)=0.019382838080164 c(0.337085195789626, 0.287031459045266)=0.004290454106768 f(0.298264335607084, 0.000001000000000)=0.001000000000000 c(0.298264335607084, 0.000001000000000)=0.212271613303731 c(0.298264335607084, 0.000001000000000)=0.345556758201188 [...] f(0.333333334001826, 0.296296294513450)=0.544331052314168 c(0.333333334001826, 0.296296294513450)=0.000000003565495 c(0.333333334001826, 0.296296294513450)=0.000000000891522 optimum at [0.33333333 0.29629629] minimum value = 0.5443310523133087 result code = 4 nevals = 48 ``` Fixes: 42c43f3 ("Only exit SLSQP successfully if solution is feasible (stevengj#465)") Signed-off-by: Edwin Török <edwin@etorok.net>
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Previously, it could stop on ftol or xtol termination criteria, even if some constraints are still blatantly violated. This fixes #368.