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Hi Swagato,<br>
<br>
If you do not provide second derivatives to Ipopt, it uses a
quasi-Newton approximation, which is not the same as computing the
actual second derivatives, and can be much slower. Since you have
the Hessian (C) available, I strongly suggest you write the code to
return it to Ipopt.<br>
<br>
Andreas<br>
<br>
On 09/20/2011 01:56 PM, Acharjee Swagato wrote:
<blockquote
cite="mid:3270_1316544975_4E78E1CF_3270_74376_1_CE3C713AB6F7FA47A5392706780461D4195538FB39@MSNYMBX02.cib.net"
type="cite">
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<div dir="ltr" align="left"><font face="Arial" color="#0000ff"
size="2"><span class="066065218-20092011">Hi Andreas,</span></font></div>
<div dir="ltr" align="left"><font face="Arial" color="#0000ff"
size="2"><span class="066065218-20092011"></span></font> </div>
<div dir="ltr" align="left"><font face="Arial" color="#0000ff"
size="2"><span class="066065218-20092011">I checked the first
derivatives using the derivative checker, there are no
errors. I did not code the second derivative, so IPOPT is
calculating it by itself. C is positive definite as I can
solve the same problem using a quadratic optimizer.</span></font></div>
<div dir="ltr" align="left"><font face="Arial" color="#0000ff"
size="2"><span class="066065218-20092011"></span></font> </div>
<div dir="ltr" align="left"><font face="Arial" color="#0000ff"
size="2"><span class="066065218-20092011">Swagato</span></font></div>
<br>
<div dir="ltr" class="OutlookMessageHeader" lang="en-us"
align="left">
<hr tabindex="-1">
<font face="Tahoma" size="2"><b>From:</b>
<a class="moz-txt-link-abbreviated" href="mailto:ipopt-bounces@list.coin-or.org">ipopt-bounces@list.coin-or.org</a>
[<a class="moz-txt-link-freetext" href="mailto:ipopt-bounces@list.coin-or.org">mailto:ipopt-bounces@list.coin-or.org</a>] <b>On Behalf Of </b>Andreas
Waechter<br>
<b>Sent:</b> Tuesday, September 20, 2011 2:43 PM<br>
<b>To:</b> <a class="moz-txt-link-abbreviated" href="mailto:ipopt@list.coin-or.org">ipopt@list.coin-or.org</a><br>
<b>Subject:</b> Re: [Ipopt] Slow convergence for simple
problem<br>
</font><br>
</div>
Hi Swagato,<br>
<br>
Did you verify that your coded the first and second derivatives
correctly, using the derivative checker? Is C positive definite?
(If not, Ipopt might something take a large number of iterations
getting out of a nonconvex region)<br>
<br>
Andreas<br>
<br>
<br>
<br>
On 09/20/2011 07:40 AM, Acharjee Swagato wrote:
<blockquote
cite="mid:20281_1316522435_4E7889C3_20281_268561_1_CE3C713AB6F7FA47A5392706780461D4195538FB31@MSNYMBX02.cib.net"
type="cite">
<meta name="GENERATOR" content="MSHTML 8.00.6001.19120">
<div><font face="Arial" size="2"><span
class="129073112-20092011">Hello IPOPT team,</span></font></div>
<div><font face="Arial" size="2"><span
class="129073112-20092011"></span></font> </div>
<div><font face="Arial" size="2"><span
class="129073112-20092011">I am a new user of IPOPT. I
have a newbie question. I am trying to solve a simple mean
variance quadratic optimization problem of the form</span></font></div>
<div><font face="Arial" size="2"><span
class="129073112-20092011"></span></font> </div>
<div><font face="Arial" size="2"><span
class="129073112-20092011">min(X) - alpha*X + XCX' </span></font></div>
<div> </div>
<div><span class="129073112-20092011"><font face="Arial"
size="2">I have some bounds on the variables and no other
constraints. I am using the ma27 solver with no hessian
approximation.</font></span></div>
<div><span class="129073112-20092011"></span> </div>
<div><span class="129073112-20092011"><font face="Arial"
size="2">For a 2500 variable problem I do not see IPOPT
converging for 10-15 minutes for 3000+ iterations using
default tolerance. As a comparison I can solve the same
problem using the quadprog library in R in much less time.
</font></span><span class="129073112-20092011"><font
face="Arial" size="2">I am wondering what I am doing
wrong.</font></span></div>
<div><span class="129073112-20092011"></span> </div>
<div><span class="129073112-20092011"><font face="Arial"
size="2">Thanks,</font></span></div>
<div><span class="129073112-20092011"><font face="Arial"
size="2">Swagato</font></span></div>
<div><span class="129073112-20092011"></span> </div>
<div><span class="129073112-20092011"></span> </div>
<div> </div>
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information contained herein is not guaranteed. This is not a
solicitation of any order to buy or sell. This communication,
including any attachments, is for the exclusive use of the
intended recipient(s) and/or the intended recipient's designees
and may contain proprietary, confidential and/or privileged
information. Any use, retention or dissemination by a person other
than the intended recipient is strictly prohibited. If you are not
the intended recipient or designee, please notify the sender
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communication. Any opinions, conclusions or information herein not
related to the official business of Natixis and any of its
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