Optimizing using objective with an integral in it

[odow]

@samerb

I adjusted your code to replace the y 's in your second line with foo and f .

Ha. That was an obvious typo. I’ve edited the post.

The issue is that your user-defined function needs to be differentiable:

julia> using ForwardDiff, QuadGK

julia> f(y) = quadgk(x -> x, 0, y, rtol=1e-8)[1]
f (generic function with 1 method)

julia> ForwardDiff.derivative(f, 0.0)
ERROR: StackOverflowError:
Stacktrace:
[1] cachedrule( #unused#::Type{ForwardDiff.Dual{ForwardDiff.Tag{typeof(f), Float64}, Float64, 1}}, n::Int64 ) (repeats 79984 times)
@ QuadGK ~/.julia/packages/QuadGK/ENhXl/src/gausskronrod.jl:253

Take a read of the posts here:

Array issue with optimzing a function with quadgk

I’m trying to minimize a function that involves an integral, the integrand of which is one of the optimizing parameters. I can compute the function and get the gradient with Zygote, but I’m getting an odd conversion error when I try to run an optimization routine. Might anyone know what is going on? using Distributions using Random using ForwardDiff using Zygote using QuadGK using Optim theta_lower = 1.0 theta_upper = 5.0 uniform_dist = Uniform(theta_lower, theta_upper) function linearCost(θ)…