[Coin-ipopt] Warm start in restoration

[Graham Sparrow]

Hi all,
 
First of all, I have been experimenting with IPOPT for a while now and I would like to say it is an excellent solver, thanks guys :)
 
I have been looking at the warm start options and was wondering about warm-starting in the restoration phase.
 
The scenario is that, I can often get problems that are overly constrained, making them infeasible. I have some code that sits around the solver and tweaks the constraints according to some user-defined priorities/rules and I then want to retry the optimization. 
 
What I was thinking is that I could tweak the constraints and then re-run with the following options...
 
app->Options()->SetStringValue( "start_with_resto", "yes" );
app->Options()->SetStringValue( "expect_infeasible_problem", "yes" );
app->Options()->SetStringValue( "warm_start_init_point", "yes" );
 
... have the TNLP::get_starting_point() function supply the original termination point as the starting point, along with the restoration phase multipliers that were originally returned. This would then quickly check whether the problem is now feasible and allow further iterations of constraint relaxation if not.
 
I notice that there was a recent change that allows the restoration phase multipliers to be made available if the solver terminates during restoration. What I am not sure about is if there is a way of passing them back in for a warm start (or if this would be a reasonable thing to implement when the start_with_resto and warm_start_init_point options were set).
 
Any pointers on this would be gratefully appreciated.
 
Thanks,
 
Graham
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