added time_limit for univariate optimization (JuliaNLSolvers#1092)

* added time_limit for univariate optimization

* time_limit tests for univariate solvers

Author: christianhauschel

src/api.jl

@@ -134,5 +134,8 @@ abs_tol(r::UnivariateOptimizationResults) = r.abs_tol
 time_limit(r::MultivariateOptimizationResults) = r.time_limit
 time_run(  r::MultivariateOptimizationResults) = r.time_run
 
+time_limit(r::UnivariateOptimizationResults) = r.time_limit
+time_run(  r::UnivariateOptimizationResults) = r.time_run
+
 time_limit(r::OptimizationResults) = error("time_limit is not implemented for $(summary(r)).")
 time_run(  r::OptimizationResults) = error("time_run is not implemented for $(summary(r)).")

src/univariate/printing.jl

@@ -39,7 +39,16 @@ function Base.show(io::IO, t::OptimizationState{<:Real, GoldenSection})
 end
 
 function Base.show(io::IO, r::UnivariateOptimizationResults)
+
+    status_string = ""
+    if time_run(r) > time_limit(r)
+        status_string *= "failure (exceeded time limit of $(time_limit(r)))"
+    else 
+        status_string = "success"
+    end
+
     @printf io "Results of Optimization Algorithm\n"
+    @printf io " * Status: %s\n" status_string
     @printf io " * Algorithm: %s\n" summary(r)
     @printf io " * Search Interval: [%f, %f]\n" lower_bound(r) upper_bound(r)
     @printf io " * Minimizer: %e\n" minimizer(r)

src/univariate/solvers/brent.jl

@@ -26,14 +26,15 @@ function optimize(
         rel_tol::T = sqrt(eps(T)),
         abs_tol::T = eps(T),
         iterations::Integer = 1_000,
+        time_limit::Float64 = Inf,
         store_trace::Bool = false,
         show_trace::Bool = false,
         show_warnings::Bool = true,
         callback = nothing,
         show_every = 1,
         extended_trace::Bool = false) where T <: AbstractFloat
     t0 = time()
-    options = (store_trace=store_trace, show_trace=show_trace, show_warnings=show_warnings, show_every=show_every, callback=callback)
+    options = (store_trace=store_trace, show_trace=show_trace, show_warnings=show_warnings, show_every=show_every, callback=callback, time_limit=time_limit)
     if x_lower > x_upper
         error("x_lower must be less than x_upper")
     end
@@ -73,8 +74,8 @@ function optimize(
                  new_minimum=new_minimum)
         stopped_by_callback = trace!(tr, nothing, state, iteration, mo, options, time()-t0)
     end
-
-    while iteration < iterations && !stopped_by_callback
+    _time = time() - t0
+    while iteration < iterations && !stopped_by_callback && _time < time_limit
 
         p = zero(T)
         q = zero(T)
@@ -170,6 +171,7 @@ function optimize(
                      new_minimum=new_minimum)
             stopped_by_callback = trace!(tr, nothing, state, iteration, mo, options, time()-t0)
         end
+        _time = time() - t0
     end
 
     return UnivariateOptimizationResults(mo,
@@ -183,7 +185,10 @@ function optimize(
                                          rel_tol,
                                          abs_tol,
                                          tr,
-                                         f_calls)
+                                         f_calls,
+                                         time_limit,
+                                         _time,
+                                         )
 end
 
 

src/univariate/solvers/golden_section.jl

@@ -23,6 +23,7 @@ function optimize(f, x_lower::T, x_upper::T,
      rel_tol::T = sqrt(eps(T)),
      abs_tol::T = eps(T),
      iterations::Integer = 1_000,
+     time_limit::Float64 = Inf,
      store_trace::Bool = false,
      show_trace::Bool = false,
      show_warnings::Bool = true,
@@ -34,7 +35,7 @@ function optimize(f, x_lower::T, x_upper::T,
         error("x_lower must be less than x_upper")
     end
     t0 = time()
-    options = (store_trace=store_trace, show_trace=show_trace, show_warnings=show_warnings, show_every=show_every, callback=callback)
+    options = (store_trace=store_trace, show_trace=show_trace, show_warnings=show_warnings, show_every=show_every, callback=callback, time_limit=time_limit)
     # Save for later
     initial_lower = x_lower
     initial_upper = x_upper
@@ -63,7 +64,9 @@ function optimize(f, x_lower::T, x_upper::T,
         stopped_by_callback = trace!(tr, nothing, state, iteration, mo, options, time()-t0)
     end
 
-    while iteration < iterations && !stopped_by_callback
+    _time = time() - t0
+
+    while iteration < iterations && !stopped_by_callback && _time < time_limit
 
         x_tol = rel_tol * abs(new_minimizer) + abs_tol
 
@@ -113,6 +116,7 @@ function optimize(f, x_lower::T, x_upper::T,
                      new_minimum=new_minimum)
             stopped_by_callback = trace!(tr, nothing, state, iteration, mo, options, time()-t0)
         end
+        _time = time() - t0
     end
 
     return UnivariateOptimizationResults(mo,
@@ -126,7 +130,9 @@ function optimize(f, x_lower::T, x_upper::T,
                                          rel_tol,
                                          abs_tol,
                                          tr,
-                                         f_calls)
+                                         f_calls, 
+                                         time_limit,
+                                         _time)
 end
 
 

src/univariate/types.jl

@@ -11,4 +11,6 @@ mutable struct UnivariateOptimizationResults{Tb,Tt,Tf, Tx,M,O<:UnivariateOptimiz
     abs_tol::Tt
     trace::OptimizationTrace{M}
     f_calls::Int
+    time_limit::Float64
+    time_run::Float64
 end

test/univariate/solvers/brent.jl

@@ -27,5 +27,13 @@
     @test Optim.converged(result)
     @test Optim.minimum(result) == -1.0
 
+    ## time limit 
+    function slow_obj(x)
+        sleep(0.05)
+        return sin(x)
+    end
+    result = optimize(x -> slow_obj(x), 0, 2π, Brent(); time_limit=0.01)
+    @test result.f_calls == 1
+
     result = Optim.optimize(x->sin(x), 0, 2π, Optim.Brent(); abs_tol=1e-4, store_trace=false, show_trace=true, iterations=2)
 end

test/univariate/solvers/golden_section.jl

@@ -16,5 +16,13 @@
     @test Optim.minimum(result) == 2.0
     @test_throws ErrorException optimize(identity, 2.0, 1.0, GoldenSection())
 
+    ## time limit 
+    function slow_obj(x)
+        sleep(0.05)
+        return sin(x)
+    end
+    result = optimize(x -> slow_obj(x), 0, 2π, GoldenSection(); time_limit=0.01)
+    @test result.f_calls == 1
+
     result = Optim.optimize(x->sin(x), 0, 2π, Optim.GoldenSection(); abs_tol=1e-4, store_trace=false, show_trace=true, iterations=2)
 end