Update to Optim@2

.github/workflows/CI.yml

@@ -9,7 +9,7 @@ permissions:
   contents: read
 jobs:
   test:
-    name: Julia ${{ matrix.version }} - ${{ matrix.os }} - ${{ matrix.arch }} - ${{ github.event_name }}
+    name: Julia ${{ matrix.version }} - ${{ matrix.os }} - ${{ github.event_name }}
     runs-on: ${{ matrix.os }}
     strategy:
       fail-fast: false
@@ -21,16 +21,12 @@ jobs:
           - 'pre'
         os:
           - ubuntu-latest
-        arch:
-          - x64
     steps:
       - uses: actions/checkout@v6
       - uses: julia-actions/setup-julia@v2
         with:
           version: ${{ matrix.version }}
-          arch: ${{ matrix.arch }}
       - uses: julia-actions/cache@v2
-      - uses: julia-actions/julia-buildpkg@v1
       - uses: julia-actions/julia-runtest@v1
       - uses: julia-actions/julia-processcoverage@v1
       - uses: codecov/codecov-action@v5
@@ -42,7 +38,6 @@ jobs:
     runs-on: ubuntu-latest
     steps:
       - uses: actions/checkout@v6
-      - uses: julia-actions/julia-buildpkg@latest
       - uses: julia-actions/julia-docdeploy@latest
         env:
           GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}

Project.toml

@@ -1,11 +1,12 @@
 name = "Survival"
 uuid = "8a913413-2070-5976-9d4c-2b364fdc2f7f"
-version = "0.3.0"
+version = "0.3.1"
 
 [deps]
 Compat = "34da2185-b29b-5c13-b0c7-acf172513d20"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+NLSolversBase = "d41bc354-129a-5804-8e4c-c37616107c6c"
 Optim = "429524aa-4258-5aef-a3af-852621145aeb"
 StatsAPI = "82ae8749-77ed-4fe6-ae5f-f523153014b0"
 StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
@@ -17,12 +18,13 @@ CategoricalArrays = "0.9, 0.10"
 Compat = "3.43, 4"
 DataFrames = "1"
 Distributions = "0.20, 0.21, 0.22, 0.23, 0.24, 0.25"
-Optim = "1"
+NLSolversBase = "8"
+Optim = "2"
 StatsAPI = "1"
 StatsBase = "0.30, 0.31, 0.32, 0.33, 0.34"
 StatsModels = "0.6, 0.7"
 Tables = "1"
-julia = "1.6"
+julia = "1.10"
 
 [extras]
 CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"

docs/Project.toml

@@ -6,3 +6,6 @@ Survival = "8a913413-2070-5976-9d4c-2b364fdc2f7f"
 
 [compat]
 Documenter = "~0.27"
+
+[sources]
+Survival = { path = ".." }

src/Survival.jl

@@ -3,12 +3,14 @@ module Survival
 using Compat
 using Distributions
 using LinearAlgebra
-using Optim
 using StatsAPI
 using StatsBase
 using StatsModels
 using Tables
 
+using NLSolversBase: NLSolversBase
+using Optim: Optim
+
 export
     EventTime,
     EventTable,

src/cox.jl

@@ -208,9 +208,21 @@ function _coxph(X::AbstractArray{T}, s::AbstractVector; l2_cost, tol) where T
     R = promote_nonmissing(T)
     c = CoxAux(X, s, l2_cost)
     β₀ = zeros(R, size(X, 2))
-    fgh! = TwiceDifferentiable(Optim.only_fgh!((f, G, H, x)->_cox_fgh!(x, G, H, c)), β₀)
-    res = optimize(fgh!, β₀, NewtonTrustRegion(), Optim.Options(g_tol = tol))
-    β, neg_ll, grad, hes = Optim.minimizer(res), Optim.minimum(res), Optim.gradient(fgh!), Optim.hessian(fgh!)
+    fgh! = NLSolversBase.TwiceDifferentiable(NLSolversBase.only_fgh!((f, G, H, x)->_cox_fgh!(x, G, H, c)), β₀)
+    optim_alg = Optim.NewtonTrustRegion()
+    optim_options = Optim.Options(; g_tol = tol)
+    optim_state = Optim.initial_state(optim_alg, optim_options, fgh!, β₀)
+    res = Optim.optimize(fgh!, β₀, optim_alg, optim_options, optim_state)
+    rescode = Optim.termination_code(res)
+    if rescode != Optim.TerminationCode.GradientNorm && rescode != Optim.TerminationCode.NoXChange && rescode != Optim.TerminationCode.NoObjectiveChange
+        error(LazyString("Calculation of estimate of Cox proportional hazard model failed: Optimization stopped with termination code `", rescode, "`."))
+    end
+    β = Optim.minimizer(res)
+    @assert β == optim_state.x
+    neg_ll = Optim.minimum(res)
+    @assert neg_ll == optim_state.f_x
+    grad = optim_state.g_x
+    hes = optim_state.H_x
     return CoxModel{R}(c, β, -neg_ll, -grad, hes, pinv(hes))
 end