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Fix COBYLA Invalid RHOEND warning with recent scipy - #1722
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COBYLA uses tol as its final trust region radius (rhoend). Since scipy 1.16 (PRIMA) it rejects tol=0: it warns "Invalid RHOEND" and uses 1e-6 instead. NonObjectOptimizer passes tol=0 to every scipy method, so Cobyla, and NGOpt or Shiwa when they select it at low budgets, emitted this warning (facebookresearch#1702). Pass tol=1e-6 for COBYLA, the value scipy 1.16+ was already using, so on those versions the optimization is unchanged and the warning is gone. The other scipy methods still get tol=0. On older scipy, long runs may now restart at rhoend 1e-6 instead of shrinking further.
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Types of changes
Motivation and Context / Related issue
Part of #1702
Since scipy 1.16, COBYLA uses PRIMA, which treats
tolas the final trust region radius and requires it to be positive.NonObjectOptimizeralways passestol=0, so every COBYLA run and restart warnsCOBYLA: Invalid RHOEND. NGOpt and Shiwa hit this at low budgets, plainCobylaat any budget.This passes
tol=1e-6for COBYLA only. That is the value scipy 1.16+ already falls back to, so the optimization doesn't change there. On scipy 1.15 and older a run now stops at 1e-6 and restarts, as it already does on 1.16+; final losses were the same or within 1e-9 in my runs.A separate "Invalid MAXFUN" warning near the end of the budget is not addressed here.
How Has This Been Tested (if it applies)
Added
test_cobyla_no_rhoend_warningtotest_optimizerlib.pyforCobyla,NGOptandShiwa. All three cases fail on main with scipy 1.17.1 and pass with this change.Checklist