Thank you all for the pretious suggestions.. I will report my findings on the list<br><br>Antonello<br><br><div class="gmail_quote">2013/2/8 Jonathan Currie <span dir="ltr"><<a href="mailto:jonathan.currie@aut.ac.nz" target="_blank">jonathan.currie@aut.ac.nz</a>></span><br>
<blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><div link="blue" vlink="purple" lang="EN-NZ"><div><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Hi Antonello,<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">For an indication of performance of available (large, sparse) QP solvers have a look at H. Mittelmann’s benchmarks:<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><a href="http://plato.asu.edu/ftp/qpbench.html" target="_blank">http://plato.asu.edu/ftp/qpbench.html</a><u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">From that list (which does not include all QP solvers obviously), free ones include BPMPD (closed source, as stated), IPOPT, OOQP, CLP (all open source) as well as CPLEX, GUROBI both offer very good academic licenses (free for 1 year, or something similar). I am not sure on the ‘free’ availability of the other solvers, probably limited time licenses available.<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">In my opinion if you are comfortable with calling IPOPT from C++, then this is probably the best to stick with, and offers good performance. Just remember to set the options as suggested by Thomas Vacek. Generating the Hessian and Gradients is not too difficult for the NLP:<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Given a QP of the form min x 0.5*x’*H*x + f’*x<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"> St. rl <= A*x <= ru<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"> lb <= x <= ub<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Then the Hessian is:<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Hess = 0.5*(H + H’)<br><br><u></u><u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">And objective gradient is:<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Grad = 0.5*(H + H’)*x + f<u></u><u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">And the Jacobian is simply the A matrix from your linear constraints. Note for linear constraints the Hessian of the Lagrangian only contains quadratic terms from the objective (as Hess above), and no constraints feature (given they are all linear). See Ogata Discrete Time Control Systems for more details on the above.<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Alternatively consider looking at OOQP, which I have found to be quite an effective QP solver. If you are a MATLAB user have a look at my OPTI Toolbox (<a href="http://www.i2c2.aut.ac.nz/Wiki/OPTI/" target="_blank">http://www.i2c2.aut.ac.nz/Wiki/OPTI/</a>) which includes CLP, OOQP, SCIP (academic only) and IPOPT for solving QPs, so you can experiment with which works best for your problems.<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Regards,<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d">Jonathan<u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p>
<p class="MsoNormal"><span style="font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1f497d"><u></u> <u></u></span></p><p class="MsoNormal"><b><span style="font-size:10.0pt;font-family:"Tahoma","sans-serif"" lang="EN-US">From:</span></b><span style="font-size:10.0pt;font-family:"Tahoma","sans-serif"" lang="EN-US"> <a href="mailto:ipopt-bounces@list.coin-or.org" target="_blank">ipopt-bounces@list.coin-or.org</a> [mailto:<a href="mailto:ipopt-bounces@list.coin-or.org" target="_blank">ipopt-bounces@list.coin-or.org</a>] <b>On Behalf Of </b>Antonello Lobianco<br>
<b>Sent:</b> Friday, 8 February 2013 4:36 a.m.<br><b>To:</b> Damien Hocking<br><b>Cc:</b> <a href="mailto:ipopt@list.coin-or.org" target="_blank">ipopt@list.coin-or.org</a><br><b>Subject:</b> Re: [Ipopt] Suggestions for a quadratic programming solver?<u></u><u></u></span></p>
<div><div class="h5"><p class="MsoNormal"><u></u> <u></u></p><p class="MsoNormal" style="margin-bottom:12.0pt">can't really find it...<u></u><u></u></p><div><p class="MsoNormal">2013/2/7 Damien Hocking <<a href="mailto:damien@khubla.com" target="_blank">damien@khubla.com</a>><u></u><u></u></p>
<div><p class="MsoNormal">Google has their QP solver they use in Maps and StreetView available on Google Code. <br><br>Damien<u></u><u></u></p><div><div><p class="MsoNormal" style="margin-bottom:12.0pt"><u></u> <u></u></p>
<div><p class="MsoNormal">On 07/02/2013 7:58 AM, Antonello Lobianco wrote:<u></u><u></u></p></div></div></div><blockquote style="margin-top:5.0pt;margin-bottom:5.0pt"><div><div><p class="MsoNormal" style="margin-bottom:12.0pt">
Hello.. I use normally ipopt but for a project I need a solver for a Quadratic Problem (so I don't need to pass all the extra-information for general nonlinear programming.. hessian, jacobian..)<br><br>For LP I use GLPK, but I am now lost on what to use for QP.. within the COIN-OR projects I can see Clp, but from the manual I got that QP is not at his core...<br>
Then I found JOptimizer, but again I have no idea of the performances nor how it will be easy to link a java program from a C++ program (I never used Java)..<br><br>Any suggestions? I would prefer to find an open source fast QP solver working on Linux/Win (MinGW).<br>
Thank you...<br clear="all"><br>-- <br>Antonello Lobianco<br>INRA, Laboratoire d'Economie Forestière<br>14 Rue Girardet - 54000 Nancy, France<br>Tel: <a href="tel:%2B33.652392310" target="_blank">+33.652392310</a><br>
Email: <a href="mailto:antonello.lobianco@nancy-engref.inra.fr" target="_blank">antonello.lobianco@nancy-engref.inra.fr</a><br><a href="http://antonello.lobianco.org/" target="_blank">http://antonello.lobianco.org</a> <u></u><u></u></p>
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<pre><a href="http://list.coin-or.org/mailman/listinfo/ipopt" target="_blank">http://list.coin-or.org/mailman/listinfo/ipopt</a><u></u><u></u></pre></blockquote><p class="MsoNormal"><u></u> <u></u></p></div><p class="MsoNormal" style="margin-bottom:12.0pt">
<br>_______________________________________________<br>Ipopt mailing list<br><a href="mailto:Ipopt@list.coin-or.org" target="_blank">Ipopt@list.coin-or.org</a><br><a href="http://list.coin-or.org/mailman/listinfo/ipopt" target="_blank">http://list.coin-or.org/mailman/listinfo/ipopt</a><u></u><u></u></p>
</div><p class="MsoNormal"><br><br clear="all"><br>-- <br>Antonello Lobianco<br>INRA, Laboratoire d'Economie Forestière<br>14 Rue Girardet - 54000 Nancy, France<br>Tel: <a href="tel:%2B33.652392310" value="+33652392310" target="_blank">+33.652392310</a><br>
Email: <a href="mailto:antonello.lobianco@nancy-engref.inra.fr" target="_blank">antonello.lobianco@nancy-engref.inra.fr</a><br><a href="http://antonello.lobianco.org/" target="_blank">http://antonello.lobianco.org</a> <u></u><u></u></p>
</div></div></div></div></blockquote></div><br><br clear="all"><br>-- <br>Antonello Lobianco<br>INRA, Laboratoire d'Economie Forestière<br>14 Rue Girardet - 54000 Nancy, France<br>Tel: +33.652392310<br>Email: <a href="mailto:antonello.lobianco@nancy-engref.inra.fr" target="_blank">antonello.lobianco@nancy-engref.inra.fr</a><br>
<a href="http://antonello.lobianco.org/" target="_blank">http://antonello.lobianco.org</a>