How so? You've basically turned my TRY block into a function and deferred the failure handling through an exception. That doesn't seem more efficient to me — am I missing something?

I don't particularly like exceptions as a mechanism to deal with soft failures though. In case I did need to handle multiple cases, I'd do something much along the lines of my first post, like this:

OPTION_LIST: for(
    [ \%hash1, \@options1, \&do_something1, ],
    [ \%hash2, \@options2, \&do_something2, ],
    [ \%hash3, \@options3, \&do_something3, ],
) {
    my ( $hash, $options, $callback ) = @$_;
    foreach my $try ( @$options ) {
        next unless exists $hash->{ $try };
        $callback->( $try );
        next OPTION_LIST;
    }
    log_failure();
    last;
}
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Note that both this and your code is deficient if you need atomic behaviour; do_something1 will already have been called by the time a failure to find any of the @options2 in %hash2 is detected. If that is undesired, a proper exception-based solution will hardly differ from the non-exception solution.