Doesn't it depend on the sacrifice that you are making in order to try? I mean, not all life choices we make are the right ones, so if you discover that the penalties are too high, then why would you continue?
An old saying is... There are many ways to skin a cat. (no offense to any cat's reading this). The point is, the first method may not be the best method, so why continue in that direction? It is better to re-evaluate and look for a new direction than move forward blindly.
You also need to respect yourself and your own boundaries. After all, if you don't respect yourself, no one else will.