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Manual termination
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Implement a custom exception which allows the manual termination of the solver within an objective evaluation.
i.e. If evaluating objfun(x) raises a "TerminationException", then just terminate the solver immediately (returning the best point so far, etc.). Then users can put a "rase TerminationException" into their objective function code to quit for any reason.
If the objective function decides that, then maybe the objective function could have some report of the progress ?