Termination criteria

[Andrea Scaglioni]

Good afternoon,

Reading the documentation I noticed that the only termination criterion for BayesOpt is the number of iterations.

Recently, other stopping criteria were proposed for bayesian optimization algorithms (see https://arxiv.org/abs/1511.07827).

I wanted to test these new termination criteria without modifying the BayesOpt source code, so I was wondering if it exists a function to call externally (for instance, inside the body of the objective function) to terminate the execution.

I am referring to something similar to the "nlopt_force_stop" function in NLOpt (https://nlopt.readthedocs.io/en/latest/NLopt_Reference/).

Thanks in advance.

Best,

Andrea

[Ruben Martinez-Cantin]

Hi Andrea,

If you are using the C++ interface you can run the optimization loop
step by step. You can check the loop at the BayesOptBase::optimize
method.

// Initialize a new state
initializeOptimization();
}
for (size_t ii = mCurrentIter; ii < mParameters.n_iterations; ++ii)
{
stepOptimization();
}
bestPoint = getFinalResult();

Then, you can interrupt it whenever you want. In C++
initializeOptimization, stepOptimization and getFinalResult are all
public. Sadly, those methods are not available from other languages.

I'm not very fond of using termination criteria within Bayesian
optimization, but if you find it useful and you are willing to submit
a pull request, I'll be happy to include it in BayesOpt as an option.

Best,

Rubén

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