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Merged
WardBrian merged 5 commits into from
May 5, 2026
Merged

Add convergence information to optimization outputs #3379

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9af2213
Add note on termination condition to optimize output files
WardBrian Apr 16, 2026
fcd8ac6
Add optimizer status as extra output column
WardBrian Apr 16, 2026
1637d03
Update tests
WardBrian Apr 16, 2026
82ea1a9
Merge branch 'develop' into feat/optimization-log-convergence-output
WardBrian May 4, 2026
c909bea
Add convergence information to Newton
WardBrian May 4, 2026
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11 changes: 7 additions & 4 deletions src/stan/services/optimize/bfgs.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -83,13 +83,15 @@ int bfgs(Model& model, const stan::io::var_context& init,
bfgs._conv_opts.maxIts = num_iterations;

double lp = bfgs.logp();
int ret = 0;

std::stringstream initial_msg;
initial_msg << "Initial log joint probability = " << lp;
logger.info(initial_msg);

std::vector<std::string> names;
names.push_back("lp__");
names.push_back("converged__");
model.constrained_param_names(names, true, true);
parameter_writer(names);

Expand All @@ -109,10 +111,9 @@ int bfgs(Model& model, const stan::io::var_context& init,
if (msg.str().length() > 0)
logger.info(msg);

values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, static_cast<double>(ret)});
parameter_writer(values);
}
int ret = 0;

try {
while (ret == 0) {
Expand Down Expand Up @@ -168,7 +169,7 @@ int bfgs(Model& model, const stan::io::var_context& init,
if (msg.str().length() > 0)
logger.info(msg);

values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, static_cast<double>(ret)});
parameter_writer(values);
}
}
Expand All @@ -192,7 +193,7 @@ int bfgs(Model& model, const stan::io::var_context& init,
}
if (msg.str().length() > 0)
logger.info(msg);
values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, static_cast<double>(ret)});
parameter_writer(values);
}

Expand All @@ -201,10 +202,12 @@ int bfgs(Model& model, const stan::io::var_context& init,
if (ret >= 0) {
logger.info("Optimization terminated normally: ");
logger.info(" " + error_string);
parameter_writer("Optimization terminated normally: " + error_string);
return_code = error_codes::OK;
} else {
logger.error("Optimization terminated with error: ");
logger.error(" " + error_string);
parameter_writer("Optimization terminated with error: " + error_string);
return_code = error_codes::SOFTWARE;
}

Expand Down
11 changes: 7 additions & 4 deletions src/stan/services/optimize/lbfgs.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -87,13 +87,15 @@ int lbfgs(Model& model, const stan::io::var_context& init,
lbfgs._conv_opts.maxIts = num_iterations;

double lp = lbfgs.logp();
int ret = 0;

std::stringstream initial_msg;
initial_msg << "Initial log joint probability = " << lp;
logger.info(initial_msg);

std::vector<std::string> names;
names.push_back("lp__");
names.push_back("converged__");
model.constrained_param_names(names, true, true);
parameter_writer(names);

Expand All @@ -104,10 +106,9 @@ int lbfgs(Model& model, const stan::io::var_context& init,
if (msg.str().length() > 0)
logger.info(msg);

values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, static_cast<double>(ret)});
parameter_writer(values);
}
int ret = 0;

try {
while (ret == 0) {
Expand Down Expand Up @@ -161,7 +162,7 @@ int lbfgs(Model& model, const stan::io::var_context& init,
if (msg.str().length() > 0)
logger.info(msg);

values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, static_cast<double>(ret)});
parameter_writer(values);
}
}
Expand All @@ -186,7 +187,7 @@ int lbfgs(Model& model, const stan::io::var_context& init,
if (msg.str().length() > 0)
logger.info(msg);

values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, static_cast<double>(ret)});
parameter_writer(values);
}

Expand All @@ -196,10 +197,12 @@ int lbfgs(Model& model, const stan::io::var_context& init,
if (ret >= 0) {
logger.info("Optimization terminated normally: ");
logger.info(" " + error_string);
parameter_writer("Optimization terminated normally: " + error_string);
return_code = error_codes::OK;
} else {
logger.error("Optimization terminated with error: ");
logger.error(" " + error_string);
parameter_writer("Optimization terminated with error: " + error_string);
return_code = error_codes::SOFTWARE;
}

Expand Down
6 changes: 4 additions & 2 deletions src/stan/services/optimize/newton.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -85,7 +85,9 @@ int newton(Model& model, const stan::io::var_context& init,
logger.info(msg);

std::vector<std::string> names;

names.push_back("lp__");
names.push_back("converged__");
model.constrained_param_names(names, true, true);
parameter_writer(names);

Expand All @@ -97,7 +99,7 @@ int newton(Model& model, const stan::io::var_context& init,
model.write_array(rng, cont_vector, disc_vector, values, true, true, &ss);
if (ss.str().length() > 0)
logger.info(ss);
values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, 0});
parameter_writer(values);
}
interrupt();
Expand All @@ -121,7 +123,7 @@ int newton(Model& model, const stan::io::var_context& init,
model.write_array(rng, cont_vector, disc_vector, values, true, true, &ss);
if (ss.str().length() > 0)
logger.info(ss);
values.insert(values.begin(), lp);
values.insert(values.begin(), {lp, 0});
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@SteveBronder SteveBronder May 4, 2026

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Newton converges whenever the difference in lp is less than 1e-8. So why don't we just have an int ret = -1 at the beginning of the loop like in lbfgs so that whenever if (std::fabs(lp - lastlp) <= 1e-8) goes off we set it to 0 so we know that newton converged

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@WardBrian WardBrian May 4, 2026

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Good suggestion, I've updated it to use the same numeric codes as lbfgs/bfgs for the two possible options (absolute tolerance reached and max iterations reached)

parameter_writer(values);
}
return error_codes::OK;
Expand Down
14 changes: 8 additions & 6 deletions src/test/unit/services/optimize/bfgs_jacobian_test.cpp
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Expand Up @@ -34,10 +34,11 @@ TEST_F(ServicesOptimize, withJacobian) {
EXPECT_TRUE(logger.find("Optimization terminated normally: "));
EXPECT_FLOAT_EQ(return_code, 0);

ASSERT_EQ(2, parameter.names_.size());
ASSERT_EQ(3, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("sigma", parameter.names_[1]);
EXPECT_NEAR((3 + std::sqrt(13)) / 2, parameter.states_.back()[1], 0.0001);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("sigma", parameter.names_[2]);
EXPECT_NEAR((3 + std::sqrt(13)) / 2, parameter.states_.back()[2], 0.0001);
EXPECT_GT(interrupt.call_count(), 0);
}

Expand All @@ -58,9 +59,10 @@ TEST_F(ServicesOptimize, withoutJacobian) {
EXPECT_TRUE(logger.find("Optimization terminated normally: "));
EXPECT_FLOAT_EQ(return_code, 0);

ASSERT_EQ(2, parameter.names_.size());
ASSERT_EQ(3, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("sigma", parameter.names_[1]);
EXPECT_NEAR(3, parameter.states_.back()[1], 0.0001);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("sigma", parameter.names_[2]);
EXPECT_NEAR(3, parameter.states_.back()[2], 0.0001);
EXPECT_GT(interrupt.call_count(), 1);
}
15 changes: 8 additions & 7 deletions src/test/unit/services/optimize/bfgs_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -40,20 +40,21 @@ TEST_F(ServicesOptimize, rosenbrock) {

EXPECT_EQ("0,0\n", init_ss.str());

ASSERT_EQ(3, parameter.names_.size());
ASSERT_EQ(4, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("x", parameter.names_[1]);
EXPECT_EQ("y", parameter.names_[2]);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("x", parameter.names_[2]);
EXPECT_EQ("y", parameter.names_[3]);

EXPECT_EQ(20, parameter.states_.size());
EXPECT_FLOAT_EQ(0, parameter.states_.front()[1])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(0, parameter.states_.front()[2])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(1, parameter.states_.back()[1])
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(0, parameter.states_.front()[3])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(1, parameter.states_.back()[2])
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(1, parameter.states_.back()[3])
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(return_code, 0);
EXPECT_EQ(19, interrupt.call_count());
}
14 changes: 8 additions & 6 deletions src/test/unit/services/optimize/lbfgs_jacobian_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -35,10 +35,11 @@ TEST_F(ServicesOptimize, with_jacobian) {
EXPECT_TRUE(logger.find("Optimization terminated normally: "));
EXPECT_FLOAT_EQ(return_code, 0);

ASSERT_EQ(2, parameter.names_.size());
ASSERT_EQ(3, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("sigma", parameter.names_[1]);
EXPECT_NEAR((3 + std::sqrt(13)) / 2, parameter.states_.back()[1], 0.0001);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("sigma", parameter.names_[2]);
EXPECT_NEAR((3 + std::sqrt(13)) / 2, parameter.states_.back()[2], 0.0001);
}

TEST_F(ServicesOptimize, without_jacobian) {
Expand All @@ -58,8 +59,9 @@ TEST_F(ServicesOptimize, without_jacobian) {
EXPECT_TRUE(logger.find("Optimization terminated normally: "));
EXPECT_FLOAT_EQ(return_code, 0);

ASSERT_EQ(2, parameter.names_.size());
ASSERT_EQ(3, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("sigma", parameter.names_[1]);
EXPECT_NEAR(3, parameter.states_.back()[1], 0.0001);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("sigma", parameter.names_[2]);
EXPECT_NEAR(3, parameter.states_.back()[2], 0.0001);
}
15 changes: 8 additions & 7 deletions src/test/unit/services/optimize/lbfgs_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -40,19 +40,20 @@ TEST_F(ServicesOptimize, rosenbrock) {

EXPECT_EQ("0,0\n", init_ss.str());

ASSERT_EQ(3, parameter.names_.size());
ASSERT_EQ(4, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("x", parameter.names_[1]);
EXPECT_EQ("y", parameter.names_[2]);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("x", parameter.names_[2]);
EXPECT_EQ("y", parameter.names_[3]);

EXPECT_EQ(23, parameter.states_.size());
EXPECT_FLOAT_EQ(0, parameter.states_.front()[1])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(0, parameter.states_.front()[2])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(0.99998301, parameter.states_.back()[1])
EXPECT_FLOAT_EQ(0, parameter.states_.front()[3])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(0.99998301, parameter.states_.back()[2])
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(0.99996597, parameter.states_.back()[2])
EXPECT_FLOAT_EQ(0.99996597, parameter.states_.back()[3])
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(return_code, 0);
EXPECT_EQ(22, interrupt.call_count());
Expand Down
14 changes: 8 additions & 6 deletions src/test/unit/services/optimize/newton_jacobian_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -32,10 +32,11 @@ TEST_F(ServicesOptimize, withJacobian) {

EXPECT_FLOAT_EQ(return_code, 0);

ASSERT_EQ(2, parameter.names_.size());
ASSERT_EQ(3, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("sigma", parameter.names_[1]);
EXPECT_NEAR((3 + std::sqrt(13)) / 2, parameter.states_.back()[1], 0.001);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("sigma", parameter.names_[2]);
EXPECT_NEAR((3 + std::sqrt(13)) / 2, parameter.states_.back()[2], 0.001);
EXPECT_GT(interrupt.call_count(), 0);
}

Expand All @@ -54,9 +55,10 @@ TEST_F(ServicesOptimize, withoutJacobian) {

EXPECT_FLOAT_EQ(return_code, 0);

ASSERT_EQ(2, parameter.names_.size());
ASSERT_EQ(3, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("sigma", parameter.names_[1]);
EXPECT_NEAR(3, parameter.states_.back()[1], 0.001);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("sigma", parameter.names_[2]);
EXPECT_NEAR(3, parameter.states_.back()[2], 0.001);
EXPECT_GT(interrupt.call_count(), 0);
}
26 changes: 14 additions & 12 deletions src/test/unit/services/optimize/newton_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -36,20 +36,21 @@ TEST_F(ServicesOptimize, rosenbrock) {
EXPECT_EQ(1, logger.find("Initial log joint probability = -1"));
EXPECT_EQ(1, logger.find("Iteration 1. Log joint probability ="));

ASSERT_EQ(3, parameter.names_.size());
ASSERT_EQ(4, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("x", parameter.names_[1]);
EXPECT_EQ("y", parameter.names_[2]);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("x", parameter.names_[2]);
EXPECT_EQ("y", parameter.names_[3]);

EXPECT_GT(parameter.states_.size(), 0);
EXPECT_FLOAT_EQ(0, parameter.states_.front()[1])
<< "initial value should be (0, 0)";
EXPECT_FLOAT_EQ(0, parameter.states_.front()[2])
<< "initial value should be (0, 0)";
EXPECT_NEAR(1, parameter.states_.back()[1], 1e-3)
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(0, parameter.states_.front()[3])
<< "initial value should be (0, 0)";
EXPECT_NEAR(1, parameter.states_.back()[2], 1e-3)
<< "optimal value should be (1, 1)";
EXPECT_NEAR(1, parameter.states_.back()[3], 1e-3)
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(return_code, 0);
EXPECT_LT(0, interrupt.call_count());
}
Expand All @@ -75,16 +76,17 @@ TEST_F(ServicesOptimize, rosenbrock_no_save_iterations) {

EXPECT_EQ("0,0\n", init_ss.str());

ASSERT_EQ(3, parameter.names_.size());
ASSERT_EQ(4, parameter.names_.size());
EXPECT_EQ("lp__", parameter.names_[0]);
EXPECT_EQ("x", parameter.names_[1]);
EXPECT_EQ("y", parameter.names_[2]);
EXPECT_EQ("converged__", parameter.names_[1]);
EXPECT_EQ("x", parameter.names_[2]);
EXPECT_EQ("y", parameter.names_[3]);

EXPECT_EQ(1, parameter.states_.size());
EXPECT_NEAR(1, parameter.states_.back()[1], 1e-3)
<< "optimal value should be (1, 1)";
EXPECT_NEAR(1, parameter.states_.back()[2], 1e-3)
<< "optimal value should be (1, 1)";
EXPECT_NEAR(1, parameter.states_.back()[3], 1e-3)
<< "optimal value should be (1, 1)";
EXPECT_FLOAT_EQ(return_code, 0);
EXPECT_LT(0, interrupt.call_count());
}
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