7.7 Progress and data callback¶
Callbacks are a very useful mechanism that allow the caller to track the progress of the MOSEK optimizer. A callback function provided by the user is regularly called during the optimization and can be used to
obtain a customized log of the solver execution,
collect information for debugging purposes or
ask the solver to terminate.
Warning
The callbacks functions must not invoke any functions of the solver, environment or task. Otherwise the state of the solver and its outcome are undefined. The only exception is the possibility to retrieve an integer solution, see below.
Retrieving mixed-integer solutions
If the mixed-integer optimizer is used, the callback will take place, in particular, every time an improved integer solution is found. In that case it is possible to retrieve the current values of the best integer solution from within the callback function. It can be useful for implementing complex termination criteria for integer optimization.
7.7.1 Data callback¶
In the data callback MOSEK passes a callback code and values of all information items to a user-defined function. The callback function is called, in particular, at the beginning of each iteration of the interior-point optimizer. For the simplex optimizers MSK_IPAR_LOG_SIM_FREQ controls how frequently the call-back is called.
The callback is set by calling the method putcallbackfunc with a user-defined function which takes the callback code and values of information items.
Non-zero return value of the callback function indicates that the optimizer should be terminated.
7.7.2 Working example: Data callback¶
The following example defines a data callback function that prints out some of the information items. It interrupts the solver after a certain time limit.
function callback(task :: Mosek.Task,
maxtime :: Float64,
caller :: Callbackcode,
douinf :: Vector{Float64},
intinf :: Vector{Int32},
lintinf :: Vector{Int64})
opttime = 0.0
if caller == MSK_CALLBACK_BEGIN_INTPNT
println("Starting interior-point optimizer")
elseif caller == MSK_CALLBACK_INTPNT
itrn = intinf[MSK_IINF_INTPNT_ITER]
pobj = douinf[MSK_DINF_INTPNT_PRIMAL_OBJ]
dobj = douinf[MSK_DINF_INTPNT_DUAL_OBJ]
stime = douinf[MSK_DINF_INTPNT_TIME]
opttime = douinf[MSK_DINF_OPTIMIZER_TIME]
println("Iterations: $itrn")
@printf(" Elapsed time: %6.2f(%.2f) ",opttime, stime)
@printf(" Primal obj.: %-18.6e Dual obj.: %-18.6e",pobj, dobj)
elseif caller == MSK_CALLBACK_END_INTPNT
println("Interior-point optimizer finished.")
elseif caller == MSK_CALLBACK_BEGIN_PRIMAL_SIMPLEX
println("Primal simplex optimizer started.")
elseif caller == MSK_CALLBACK_UPDATE_PRIMAL_SIMPLEX
itrn = intinf[MSK_IINF_SIM_PRIMAL_ITER]
pobj = douinf[MSK_DINF_SIM_OBJ]
stime = douinf[MSK_DINF_SIM_TIME]
opttime = douinf[MSK_DINF_OPTIMIZER_TIME]
println("Iterations: %-3d", itrn)
println(" Elapsed time: %6.2f(%.2f)",opttime, stime)
println(" Obj.: %-18.6e", pobj)
elseif caller == MSK_CALLBACK_END_PRIMAL_SIMPLEX
println("Primal simplex optimizer finished.")
elseif caller == MSK_CALLBACK_BEGIN_DUAL_SIMPLEX
println("Dual simplex optimizer started.")
elseif caller == MSK_CALLBACK_UPDATE_DUAL_SIMPLEX
itrn = intinf[MSK_IINF_SIM_DUAL_iter]
pobj = douinf[MSK_DINF_SIM_OBJ]
stime = douinf[MSK_DINF_SIM_TIME]
opttime = douinf[MSK_DINF_OPTIMIZER_TIME]
println("Iterations: %-3d",itrn)
println(" Elapsed time: %6.2f(%.2f)",opttime, stime)
println(" Obj.: %-18.6e",pobj)
elseif caller == MSK_CALLBACK_END_DUAL_SIMPLEX
println("Dual simplex optimizer finished.")
elseif caller == MSK_CALLBACK_NEW_INT_MIO
println("New integer solution has been located.")
xx = getxx(task,MSK_SOL_ITG)
println(" x = $xx")
println("Obj.: %f", douinf[MSK_DINF_MIO_OBJ_INT])
end
if opttime >= maxtime
# mosek is spending too much time. Terminate it.
println("Terminating.")
1
else
0
end
end
Assuming that we have defined a task task and a time limit maxtime, the callback function is attached as follows:
