[Clp] Cholesky with Mumps and QPs + ABC

[John Forrest]

Jonathan,

A "Few" questions -:) - answers not so simple

On 29/04/13 10:41, Jonathan Currie wrote:
>
> Hi,
>
> I have been updating my MATLAB interface 
> (http://www.i2c2.aut.ac.nz/Wiki/OPTI/) to Clp to support most of the 
> options, together with experimenting with the interior point solver 
> and various Cholesky options for Window's users.
>
> I had a few questions I can't seem to find answers for in the code (or 
> in the user's guide) if anyone could help!
>
> 1)If I create a ClpSimplex object (simplex), load an LP into it using 
> loadProblem(..), then do the following, what algorithm is being 
> called? I presume it is the interior point...
>
> ClpSolve options;
>
> options.setSolveType(ClpSolve::useBarrier);
>
> simplex.initialSolve(options);
>
Yes Interior point using home-grown cholesky
>
> 2)How does the ClpSolve::automatic mode work (using similar code as 
> the above)?
>
automatic is only choosing between dual and various forms of 
crash+primal.  It will never choose interior point.
>
> 3)If I create a ClpInterior object (interior), load a QP into it using 
> loadProblem(..) and loadQuadraticObjective(..), then call 
> interior.primalDual(), which Cholesky factorization code is being 
> used? I.e. I have not specified it anywhere, I have not added any 
> COIN_HAS_MUMPS etc defines, and my problem is typically large and sparse.
>
If you just do that you will get
Clp6005E Quadratic barrier needs a KKT factorization

      ClpCholeskyBase * cholesky = new ClpCholeskyBase();
      cholesky->setKKT(true);
      interior.setCholesky(cholesky);

will work using home-grown cholesky.
>
> 4)I have access to the Mumps solver (sequential version) on Windows, 
> and would like to use it with Clp. However when I try and use it with 
> the interior point solver and a QP I get the message "Quadratic 
> Barrier needs a KKT factorization". My first guess was to do the 
> following:
>
> ClpCholeskyMumps clpMumps;
>
> clpMumps.setKKT(true);
>
> interior.setCholesky(&clpMumps);
>
> However using my MATLAB interface it promptly crashes when trying to 
> solve the model. I see in the source files only Wssmp has a KKT suffix 
> header file, is this the only Cholesky code setup to solve the KKT 
> system of a QP with the barrier (interior) solver?
>
Have not used Mumps for a long time - will get back to you
>
> 5)If I solve LPs using the barrier solver and sequential Mumps, will I 
> still expect (in general -- for sparse problems) to see a speedup over 
> the CholeskyBase / CholeskyDense implementations supplied with Clp?
>
Without Cilk home-grown cholesky is sequential so yes.  With cilk the 
dense part goes parallel (as it is a nice easy case for cilk)
>
> 6)I have bought Intel Parallel Studio XE and therefore have access to 
> the Cilk libraries and would like to try using ABC for solving LPs 
> (and QPs?) in parallel. However I cannot find any examples.... Is it 
> as simple as replacing ClpSimplex with AbcSimplex, or is there a bit 
> more to it? I have not managed to compile the Abc part of Clp yet, so 
> not quite at a point to jump in and experiment.
>
In configure add --enable-aboca=4

Abc is only simplex (but you do get the cilk bit of cholesky as 
mentioned above) - no QP at present.

If using initialSolve then add
simplex.setAbcState(4) or (8) to partition work into 4/8 chunks. Cilk 
will use it's default number of workers - unless you override. On my 
laptop that is 4 as I have hyperthreading turned off.

Will get back to you on Mumps.

John Forrest
>
> Thanks for any help!
>
> JONATHAN CURRIE [BE Hons]
>
> LECTURER
> ELECTRICAL & ELECTRONIC ENGINEERING
> AUT UNIVERSITY
>
>
> ph: (+64) 09 921 9999 x6608 |mob: (+64) 021 550 483 |web: 
> www.i2c2.aut.ac.nz <http://www.i2c2.aut.ac.nz/>
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>
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