[Coin-ipopt] IPOPT as an Excel solver plugin

[Damien Hocking]

There's a few things we could try there.  The duh-simple option would be to
assume a dense system, but that would limit you to around 1000 variables.
It won't really hurt the sparse solvers at that size, but it's very
inefficient.  We could do a couple of perturbation passes to identify the
sparsity pattern.  That's not perfect either, you can't guarantee that
you'll pick up every Jacobian entry, especially in something like Excel
where roundoff is more prevalent.  You could rebuild the system and restart
from the current point if you detect a change in the Jacobian structure;
this isn't as efficient as a structural incidence matrix but it's a lot
better than assuming it's dense.  This is where I'm thinking of going.

I'd do finite differences as the rule, with an exception for analyticals if
the user really wants to.  My goal here is to provide a small-scale NLP
solver for Excel for straightforward work, I'm not interested in trying to
compete with Matlab or Maple.  I see this as being useful for up to a few
hundred or a thousand variables at the most.  The issue won't be the size of
problem that can fit in Excel, it will be the evaluation speed.  Anyway,
it's worth a try.  

Damien  

PS There is no commitment to a delivery timeframe, OK?  :-)

-----Original Message-----
From: Andreas Waechter [mailto:andreasw at watson.ibm.com] 
Sent: Wednesday, December 19, 2007 6:54 PM
To: Leo Lopes
Cc: Damien Hocking; coin-ipopt at list.coin-or.org
Subject: Re: [Coin-ipopt] IPOPT as an Excel solver plugin

Hi,

> I thought IPOPT was one of the engines available with Frontline's
> Premium solver. Can someone confirm?

I don't know about that.  It seems that they have Knitro, though...

>> The client needs Excel, they're a Windows shop.  I'll see what I can do
to
>> make it cross-platform though.

It would definitly be great to have something like this!

I'm just wondering how nonlinear functions would be given to the 
optimizer...?  Does one have to specify all derivatives, or would you use 
finited differences or automatic differentiation?

Thanks,

Andreas


>>
>> Damien
>>
>>
>> -----Original Message-----
>> From: John Pye [mailto:john.pye at anu.edu.au]
>> Sent: Tuesday, December 18, 2007 11:16 PM
>> To: Damien Hocking
>> Cc: coin-ipopt at list.coin-or.org
>> Subject: Re: [Coin-ipopt] IPOPT as an Excel solver plugin
>>
>> Sounds like a great idea! Perhaps this stuff might be helpful (and did
>> you consider OpenOffice instead?)
>> http://wiki.services.openoffice.org/wiki/Optimization_Solver
>>
>> Cheers
>> JP
>>
>> Damien Hocking wrote:
>>>
>>> Howdy.  Has anyone done one of these they'd like to share?  Otherwise
>>> I'll write one.
>>>
>>>
>>>
>>> Damien
>>>
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> ========================================================================
> Leonardo B. Lopes                                    leo at sie.arizona.edu
> Assistant Professor                                        (520)621-2342
> SIE - University of Arizona  http://www.sie.arizona.edu/faculty/leolopes
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