python - Stop Scipy minimize after set time

Question

I use minimize from the Scipy module on Python 3.4, specifically:

resultats=minimize(margin_rate, iniprices, method='SLSQP',
jac=margin_rate_deriv, bounds=pricebounds, options={'disp': True,
'maxiter':2000}, callback=iter_report_margin_rate)

The maximum number of iterations can be set (as above), but is there a way to tell minimize to stop searching for a solution after a given set time? I looked at the general options of minimize as well as the specific options of the SLSQP solver, but could not work it out.

Thanks

Answer 1

You can use the callback argument to raise a warning or exception if the execution time exceeds some threshold:

import numpy as np
from scipy.optimize import minimize, rosen
import time
import warnings

class TookTooLong(Warning):
    pass

class MinimizeStopper(object):
    def __init__(self, max_sec=60):
        self.max_sec = max_sec
        self.start = time.time()
    def __call__(self, xk=None):
        elapsed = time.time() - self.start
        if elapsed > self.max_sec:
            warnings.warn("Terminating optimization: time limit reached",
                          TookTooLong)
        else:
            # you might want to report other stuff here
            print("Elapsed: %.3f sec" % elapsed)

# example usage
x0 = [1.3, 0.7, 0.8, 1.9, 1.2]
res = minimize(rosen, x0, method='Nelder-Mead', callback=MinimizeStopper(1E-3))