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<DIV dir=ltr align=left><SPAN class=906562317-29092011><FONT color=#0000ff
size=2 face=Arial>Andreas,</FONT></SPAN></DIV>
<DIV dir=ltr align=left><SPAN class=906562317-29092011><FONT color=#0000ff
size=2 face=Arial></FONT></SPAN> </DIV>
<DIV dir=ltr align=left><SPAN class=906562317-29092011><FONT color=#0000ff
size=2 face=Arial>Thanks for your suggestion. It worked well. I was also able to
add more terms to the objective function and more complex
constraints.</FONT></SPAN></DIV>
<DIV dir=ltr align=left><SPAN class=906562317-29092011><FONT color=#0000ff
size=2 face=Arial></FONT></SPAN> </DIV>
<DIV dir=ltr align=left><SPAN class=906562317-29092011><FONT color=#0000ff
size=2 face=Arial>Swagato</FONT></SPAN></DIV><BR>
<DIV dir=ltr lang=en-us class=OutlookMessageHeader align=left>
<HR tabIndex=-1>
<FONT size=2 face=Tahoma><B>From:</B> Andreas Waechter
[mailto:awaechter.iems@gmail.com] <BR><B>Sent:</B> Wednesday, September 21, 2011
5:30 PM<BR><B>To:</B> Acharjee Swagato<BR><B>Cc:</B>
ipopt@list.coin-or.org<BR><B>Subject:</B> Re: [Ipopt] Slow convergence for
simple problem<BR></FONT><BR></DIV>
<DIV></DIV>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 color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011>Hi Andreas,</SPAN></FONT></DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011></SPAN></FONT> </DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><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 color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011></SPAN></FONT> </DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011>Swagato</SPAN></FONT></DIV><BR>
<DIV dir=ltr lang=en-us class=OutlookMessageHeader align=left>
<HR tabIndex=-1>
<FONT size=2 face=Tahoma><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">
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<DIV><FONT size=2 face=Arial><SPAN class=129073112-20092011>Hello IPOPT
team,</SPAN></FONT></DIV>
<DIV><FONT size=2 face=Arial><SPAN
class=129073112-20092011></SPAN></FONT> </DIV>
<DIV><FONT size=2 face=Arial><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 size=2 face=Arial><SPAN
class=129073112-20092011></SPAN></FONT> </DIV>
<DIV><FONT size=2 face=Arial><SPAN class=129073112-20092011>min(X) - alpha*X
+ XCX' </SPAN></FONT></DIV>
<DIV> </DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2 face=Arial>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 size=2 face=Arial>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 size=2
face=Arial>I am wondering what I am doing wrong.</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2
face=Arial>Thanks,</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2
face=Arial>Swagato</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
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