7.6 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.

7.6.1 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 attaching a structure callback as a parameter in mosekopt. This structure specifies a global callback function and can contain arbitrary user-defined data.

7.6.2 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.

Listing 7.5 An example of a data callback function. Click here to download.

function [r] = callback_handler(handle,where,info)

r = 0;   % r should always be assigned a value.

if handle.symbcon.MSK_CALLBACK_BEGIN_INTPNT==where
    disp(sprintf('Interior point optimizer started\n'));
end

if handle.symbcon.MSK_CALLBACK_END_INTPNT==where
  disp(sprintf('Interior-point optimizer terminated\n'));
  disp(sprintf('Interior-point primal obj.: %e\n', info.MSK_DINF_INTPNT_PRIMAL_OBJ));
  disp(sprintf('Iterations: %d\n', info.MSK_IINF_INTPNT_ITER));
end

if handle.symbcon.MSK_CALLBACK_NEW_INT_MIO==where
  disp(sprintf('New mixed-integer solution found\n'));
  disp(sprintf('Best objective.: %e\n', info.MSK_DINF_MIO_OBJ_BOUND));
end

% Decide if to terminate the optimization
% Terminate when cputime > handle.maxtime
if info.MSK_DINF_INTPNT_TIME > handle.maxtime
  r = 1;
else
  r = 0;
end

Assuming that we have defined some problem prob the callback function is attached as follows:

Listing 7.6 Attaching the data callback function to the model. Click here to download.

% Define user defined handle.
[r,res]             = mosekopt('echo(0) symbcon');                 
data.maxtime        = 100.0;
data.symbcon        = res.symbcon;

callback.iter       = 'callback_handler';	% Defined in callback_handler.m
callback.iterhandle = data;

% Perform the optimization.
[r,res] = mosekopt('minimize echo(0)',prob,[],callback);