Adding dual_ftol_rel keyword for NLopt

[miguelborrero5]

I’m trying out different solvers for my problem which requires evaluation of non-linear constraints. Currently I’m trying NLopt thought Optimization in particular LD_CCSAQ solver. However, its taking forever across iterations so I wanted to increase the parameter dual_ftol_rel as suggested by NLopt documentation. However, Optimization does not seem to support this.

e.g:

rosenbrock_inp(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
p = [1.0, 100.0]
x0 = [0.0, 0.0]
f2 = OptimizationFunction(rosenbrock_inp, AutoEnzyme())
prob = OptimizationProblem(f2, x0, p)
sol = solve(prob, NLopt.LD_CCSAQ(), xtol_rel = 1e-7, dual_ftol_rel = 1e-7)

Giving the following error:

julia> sol = solve(prob, NLopt.LD_CCSAQ(), xtol_rel = 1e-7, dual_ftol_rel = 1e-7)
┌ Warning: The selected optimization algorithm requires second order derivatives, but `SecondOrder` ADtype was not provided. 
│         So a `SecondOrder` with AutoForwardDiff() for both inner and outer will be created, this can be suboptimal and not work in some cases so 
│         an explicit `SecondOrder` ADtype is recommended.
└ @ OptimizationBase ~/.julia/packages/OptimizationBase/UXLhR/src/cache.jl:49
ERROR: UndefVarError: `dual_ftol_rel!` not defined
Stacktrace:
 [1] eval
   @ ./boot.jl:385 [inlined]
 [2] eval
   @ ~/.julia/packages/OptimizationNLopt/YE3fr/src/OptimizationNLopt.jl:1 [inlined]
 [3] __map_optimizer_args!(cache::OptimizationCache{…}, opt::Opt; callback::Function, maxiters::Nothing, maxtime::Nothing, abstol::Nothing, reltol::Nothing, local_method::Nothing, local_maxiters::Nothing, local_maxtime::Nothing, local_options::Nothing, kwargs::@Kwargs{…})
   @ OptimizationNLopt ~/.julia/packages/OptimizationNLopt/YE3fr/src/OptimizationNLopt.jl:140
 [4] __solve(cache::OptimizationCache{…})
   @ OptimizationNLopt ~/.julia/packages/OptimizationNLopt/YE3fr/src/OptimizationNLopt.jl:289
 [5] solve!(cache::OptimizationCache{…})
   @ SciMLBase ~/.julia/packages/SciMLBase/OKLBE/src/solve.jl:227
 [6] solve(::OptimizationProblem{…}, ::Algorithm; kwargs::@Kwargs{…})
   @ SciMLBase ~/.julia/packages/SciMLBase/OKLBE/src/solve.jl:129
 [7] top-level scope
   @ REPL[70]:1

Could we add support for dual_ftol_rel keyword please?

[ChrisRackauckas]

Yes we should definitely add support for this, just need to get around to it.