[Coin-ipopt] l-BFGS

[Oliveira, Ivan B]

Hi Andreas and Carl,

 

We are having some difficulty accommodating the memory requirement for
our Hessian storage (even when exploiting sparsity).  So we're
contemplating implementing our own limited-memory BFGS, but it seems
that, in the C++ version of IPOPT,
IpoptCalculatedQuantities::curr_exact_hessian() is the only point of
entry for a Hessian calculation, and there are no Hessian-vector
equivalent callbacks.  It also seems (from
TSymLinearSolver::MultiSolve()) that the ma27 routines used to solve for
the search direction require a matrix and rhs, and there is no interface
for an iterative method that takes operator-type inputs.  Is this
correct?

 

If so, do you have any suggestions of how to implement such a
matrix-vector description of the Hessian's action?  Am I perhaps
overlooking an interface that allows for this?  I recall you mentioned
that there would be quasi-Newton capabilities in future releases, do the
plans also include a limited-memory option?

 

Regards,

 

--Ivan.

 

----------------------------

Ivan B. Oliveira

SC12-205

(408)765-0584

 

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