Configurable options

There are several options that simply take on some default values if the user doensn't supply anything else than a function (and gradient) and a starting point.

Solver options

There quite a few different solvers available in Optim, and they are all listed below. Notice that the constructors are written without input here, but they generally take keywords to tweak the way they work. See the pages describing each solver for more detail.

Requires only a function handle:

  • NelderMead()
  • SimulatedAnnealing()

Requires a function and gradient (will be approximated if omitted):

  • BFGS()
  • LBFGS()
  • ConjugateGradient()
  • GradientDescent()
  • MomentumGradientDescent()
  • AcceleratedGradientDescent()

Requires a function, a gradient, and a Hessian (cannot be omitted):

  • Newton()

Box constrained minimization:

  • Fminbox()

Special methods for univariate optimization:

  • Brent()
  • GoldenSection()

General Options

In addition to the solver, you can alter the behavior of the Optim package by using the following keywords:

  • x_tol: What is the threshold for determining convergence in the input vector? Defaults to 1e-32.
  • f_tol: What is the threshold for determining convergence in the objective value? Defaults to 1e-32.
  • g_tol: What is the threshold for determining convergence in the gradient? Defaults to 1e-8. For gradient free methods, this will control the main convergence tolerance, which is solver specific.
  • f_calls_limit: A soft upper limit on the number of objective calls. Defaults to 0 (unlimited).
  • g_calls_limit: A soft upper limit on the number of gradient calls. Defaults to 0 (unlimited).
  • h_calls_limit: A soft upper limit on the number of Hessian calls. Defaults to 0 (unlimited).
  • allow_f_increases: Allow steps that increase the objective value. Defaults to false.
  • iterations: How many iterations will run before the algorithm gives up? Defaults to 1_000.
  • store_trace: Should a trace of the optimization algorithm's state be stored? Defaults to false.
  • show_trace: Should a trace of the optimization algorithm's state be shown on STDOUT? Defaults to false.
  • extended_trace: Save additional information. Solver dependent. Defaults to false.
  • show_every: Trace output is printed every show_everyth iteration.
  • callback: A function to be called during tracing. A return value of true stops the optimize call.
  • time_limit: A soft upper limit on the total run time. Defaults to NaN (unlimited).

We currently recommend the statically dispatched interface by using the Optim.Options constructor:

res = optimize(f, g!,
               [0.0, 0.0],
               GradientDescent(),
               Optim.Options(g_tol = 1e-12,
                             iterations = 10,
                             store_trace = true,
                             show_trace = false))

Another interface is also available, based directly on keywords:

res = optimize(f, g!,
               [0.0, 0.0],
               method = GradientDescent(),
               g_tol = 1e-12,
               iterations = 10,
               store_trace = true,
               show_trace = false)

Notice the need to specify the method using a keyword if this syntax is used. This approach might be deprecated in the future, and as a result we recommend writing code that has to maintained using the Optim.Options approach.