[Coin-ipopt] choosing smaller pivot tolerance to reduce fill-in

Andreas Waechter andreasw at watson.ibm.com
Thu Mar 10 00:53:38 EST 2005

Hi Frank,

I'm sending parts of my reply to your latest message to the mailing list,
since it might be of more general interest.

Running the model that you sent me, I noticed that the output says

ITER     ERR       MU      ||C||    ||D||   ALFA(X) #LS        F         Regu
    0 .374E+02p .100E+00 .104E+04 .000E+00 .000E+00   0 0.20250000E+02 .000E+00
 ma27_call:  LIWMA increased from 968930 to 11221280
 ma27_call:  LA increased from 1643625 to 11221280
 ma27_call:  LIWMA increased from 11221280 to 71314890
 ma27_call:  LA increased from 11221280 to 71314890

If you see those lines starting with `ma27_call' in the first
iteration, this can mean that there is a large amount of fill-in for
the factorization of the linear system.  Sometimes, it is possible to
reduce the fill-in by specifying a smaller pivot tolerance for the
linear solver.  This can be done with the `dpivtol' option.  The
default value is 1.e-8 (which is already quite small), but often
smaller values work, too (one shouldn't go below machine precision,
i.e. 1.e-16, though).  For your model, if I choose 1.e-14, the
algorithm still converges nicely, and it is faster.



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