Dynamic stopping criteria Intlinprog

Dear all,

I am using the intlinprog solver in a for loop running the optimisation for ~80 times. Would it be possible to use a stopping criteria such as if a feasable solution has been found with a relative gap below 0.05 stop after 15.000 nodes, if not continue to find one for 150.000 nodes? Now I am using both the tolgaprel and maxnodes stopping criteria, TolGapRel is set to 0.02 and MaxNodes to 50.000, since often the solution is near enough to 0.02 and I don't want it to keep finding for better solutions for ages until TolGapRel is <0.02. However sometimes it cannot find a solution in 50k nodes.

Answer 1

[Alan Weiss]

You can write an output function to stop intlinprog according to any criterion you like. You have to be able to define the stopping criterion unambiguously, which might be difficult.

Alan Weiss

MATLAB mathematical toolbox documentation

[robbert]

Thanks Alan,

Made it work to my liking using the following code:

 %
function stop = stopFcn(x,optimValues, state)
stop = false;
if optimValues.numfeaspoints >= 1 
    if optimValues.relativegap < 5 && optimValues.numnodes > 5000
        stop = true;
    elseif optimValues.relativegap < 1
        stop = true;    
    elseif optimValues.numnodes > 20000
        stop = true;
    else
        stop = false;
    end
elseif optimValues.numnodes > 1e6
    stop = true;
else 
    stop = false;
end