any trick to stop fminsearch early?

I am using fminsearch to minimize an error score in fitting a model to many, many data sets.

Often, the error score gets close enough to zero for my purposes, and at that point I'd like fminsearch to stop and go on to the next data set.

Unfortunately, I can't find choices for TolX and TolFun (nor maximum function evaluations, etc) that will reliably stop if and only if the total error score is low enough.

So, my question is whether there is some other way to get fminsearch to stop when my objective function detects that a low enough overall error has been achieved?

Thanks for any suggestions.

Answer 1

[Thiago Henrique Gomes Lobato]

Yes, there is, you can pass an output function and change the optimization state as soon as your error gets the threshold that you want. Here is a very simple example adapated from the one at mathworks (https://de.mathworks.com/help/matlab/math/output-functions.html) that does what you want and it is also very useful to visualize the stop criteria working:

function [x fval historyT] = myproblem(x0)
    historyT = [];
    options = optimset('OutputFcn', @myoutput);
    [x fval] = fminsearch(@objfun, x0,options);
        
    function stop = myoutput(x,optimvalues,state);
        stop = false;
        
        % This block here 
        AcceptableError = 0.02;
        if optimvalues.fval<AcceptableError
            state = 'done';
        end
        
        if isequal(state,'iter')
          historyT = [historyT; x];
        end
    end
    
    function z = objfun(x)
      z = exp(x(1))*(4*x(1)^2+2*x(2)^2+x(1)*x(2)+2*x(2));
    end
end

If I then call the funciton, I get:

[x fval history] = myproblem([-1 1])
size(history,1)

ans =

    15

While if I comment the stop criteria:

        % This block here 
%         AcceptableError = 0.02;
%         if optimvalues.fval<AcceptableError
%             state = 'done';
%         end


[x fval history] = myproblem([-1 1])
size(history,1)

ans =

    48

[Jeff Miller]

Thanks very much for this detailed answer. For my case, it was sufficient to use:

StopIfErrorSmall = @(x,optimvalues,state) optimvalues.fval<.01;
thisDist.SearchOptions = optimset('OutputFcn',StopIfErrorSmall);

Answer 2

[Walter Roberson]

fminsearch permits options that include Outputfcn and that function can signal to terminate.

[Jeff Miller]

Thanks. Yes, OutputFcn lets me do what I want.