Early stopping errors using LBFGS

[ayushinav]

Very similar to #752 where early stopping from a callback function returns an error instead of stopping the iterations.

Stacktrace

ERROR: Optimization halted by callback.
Stacktrace:
 [1] error(s::String)
   @ Base ./error.jl:35
 [2] (::Optimization.var"#16#28"{OptimizationCache{…}})(θ::Vector{Float64})
   @ Optimization ~/.julia/packages/Optimization/lRtl8/src/lbfgsb.jl:225
 [3] (::LBFGSB.L_BFGS_B)(func::Optimization.var"#16#28"{…}, grad!::OptimizationBase.var"#grad#22"{…}, x0::Vector{…}, bounds::Matrix{…}; m::Int64, factr::Float64, pgtol::Float64, iprint::Int64, maxfun::Int64, maxiter::Int64)
   @ LBFGSB ~/.julia/packages/LBFGSB/UZibA/src/wrapper.jl:61
 [4] __solve(cache::OptimizationCache{…})
   @ Optimization ~/.julia/packages/Optimization/lRtl8/src/lbfgsb.jl:246
 [5] solve!(cache::OptimizationCache{…})
   @ OptimizationBase ~/.julia/packages/OptimizationBase/ivotG/src/solve.jl:208
 [6] solve(::OptimizationProblem{…}, ::Optimization.LBFGS; kwargs::@Kwargs{…})
   @ OptimizationBase ~/.julia/packages/OptimizationBase/ivotG/src/solve.jl:119

I believe the issue is due to L118 and/or L226