[Bonmin] bonmin and ampl external function

[Andreas Waechter]

Hi Roy,

> What I am sure is my code could just calculate the value of the integration
> function and it doesn't provide the first and second direvatives. Does this
> explain why Bonmin couldn't work with my external function? But why Bonmin
> couldn't load amplfunc.dll file? Does it have something to do with the first
> and second direvative?

I would think so.  The Ampl Solver Library (ASL) that is linked into 
Bonmin knows that first and second derivatives are provided, and I would 
think that this explains why it refuses to load your amplfunc.dll.

If you want to use bonmin with your external function, you need to somehow 
provide the derivatives.  One avenue might be to use automatic 
differentiation (I have used ADOL-C in that context before when we had an 
external function that is computed by code that only provided the function 
value).  However, that probably won't work if you are actually integrating 
something (where you have lots of "if" statements in your code which are 
not nice for automatic differentiation methods...).

> I will try IPOPT soon and give you the result soon.

If you already know that your DLL doesn't provide those derivatives, ipopt 
won't work either.

Regards,

Andreas