[Ipopt-tickets] [Ipopt] #88: Working interface for Intel MKL Pardiso

[Ipopt]

#88: Working interface for Intel MKL Pardiso
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Reporter:  hmartin             |       Owner:  ipopt-team
    Type:  enhancement         |      Status:  new       
Priority:  normal              |   Component:  Ipopt     
 Version:  3.4 (C++ Version)   |    Severity:  normal    
Keywords:  Intel MKL, Pardiso  |  
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 I have noticed in the manual of the latest Intel MKL library (v10.1) that
 it provides now the matrix inertia, which in my understanding was a
 missing requirement for Ipopt.

 I have tried to run Ipopt with MKL Blas & Pardiso, with no success. The
 tests were done on Windows, with the MS C++ compiler, and the Ipopt
 examples (Hs071 and various problems from ScalableProblems).

 After digging a bit, I found that the Intel MKL Pardiso works fine with
 Ipopt, the problem being with the options modified by Ipopt, which are
 false. It is a bit difficult to figure out the right settings, as the
 settings used by Ipopt are also different/not documented in the Pardiso
 manual available on http://www.pardiso-project.org!

 Anyway, I have now a working (at least it seems so!) Ipopt + Intel MKL
 Pardiso, which outperforms significantly MA27 and MUMPS on the few
 examples I have tested.

 I think it would be great to enhance Ipopt so that it can be used with
 this library, as:[[BR]]
 1. Pardiso is obviously a fast linear solver well suited for Ipopt[[BR]]
 2. Intel MKL is quite cheap, available on Windows/Linux and provides an
 optimized Blas implementation

 I join my modified version IpPardisoSolverInterface.cpp for reference.

 Best regards

-- 
Ticket URL: <https://projects.coin-or.org/Ipopt/ticket/88>
Ipopt <http://projects.coin-or.org/Ipopt>
Interior-point optimizer for nonlinear programs.