Using NLopt.jl

When NLopt.jl is loaded in the running Julia session, it can be used by the SemOptimizer by specifying engine = :NLopt (see NLopt-specific options). Among other things, NLopt enables constrained optimization of SEMs, which is explained in the Constrained optimization section.

We can override the default NLopt algorithm (LFBGS) and instead use the augmented lagrangian method with LBFGS as the local optimization algorithm, stop at a maximum of 200 evaluations and use a relative tolerance of the objective value of 1e-6 as the stopping criterion for the local algorithm:

using NLopt

my_optimizer = SemOptimizer(;
    engine = :NLopt,
    algorithm = :AUGLAG,
    options = Dict(:maxeval => 200),
    local_algorithm = :LD_LBFGS,
    local_options = Dict(:ftol_rel => 1e-6)
)

To see how to use the optimizer to actually fit a model now, check out the Model fitting section.

In the NLopt docs, you can find details about the optimization algorithms, and the tutorial that demonstrates how to tweak their behavior.

To choose an algorithm, just pass its name without the NLOPT_ prefix (for example, NLOPT_LD_SLSQP can be used by passing algorithm = :LD_SLSQP).

The README of NLopt.jl may also be helpful, and provides a list of options:

• algorithm
• stopval
• ftol_rel
• ftol_abs
• xtol_rel
• xtol_abs
• constrtol_abs
• maxeval
• maxtime
• initial_step
• population
• seed
• vector_storage