[Coin-ipopt] Re: Are IpOpt and Osi friends ?

[Pierre Bonami]

Dear Hacene,
I am affraid the Osi interface to Ipopt in Bonmin will not be much help for
you. In any case you would have to implement an object of type Ipopt::TNLP
for describing a linear problem (I don't think there is such existing such
a thing). Of course if you would do that, that would be very usefull.
If you want to use an Interior point method for solving an LP did you
consider the one in Clp? That would be much simpler since all interface are
already there.

Good luck,
Pierre


                                                                           
             Andreas Waechter                                              
             <andreasw at bigopt.                                             
             watson.ibm.com>                                            To 
                                       Hacène Ouzia <h.ouzia at gmail.com>    
             02/24/07 06:33 AM                                          cc 
                                       Pierre Bonami/Watson/IBM at IBMUS,     
                                       coin-ipopt mailing list             
                                       <coin-ipopt at list.coin-or.org>       
                                                                   Subject 
                                       Re: Are IpOpt and Osi friends ?     
                                                                           
                                                                           
                                                                           
                                                                           
                                                                           
                                                                           




Hi Hacene,  Good to hear from you.  I'm sending my reply to the Ipopt mailing
list.  (If you want to reply,
you need to sign up first at
http://list.coin-or.org/mailman/listinfo/coin-ipopt, if you haven't
already)

> I want to use IpOpt to solve Huge LP programs. I need your advice before >
starting any things. > > In the code i have, i use OsiXxxSolverInterface
(where at present Xxx = > Cbc). > > I want to Know if is there any interface
to IpOpt from Osi ?

I think that at this point there is no such interface for LPs.  However,
Pierre has written an Osi Ipopt interface to use Ipopt with Cbc in Bonmin,
and maybe that can be modified easily to make it work with LPs as well?
Pierre, do you know?

Apart for that technical question, Ipopt's default setting is not well
targeting the solutions of LPs. Thing is that usually interior point codes
for LP have some way to initialize the iterates, but Ipopt doesn't have
that (yet?).  So, if you want to try, I suggest you use the
options  bound_push 1e3 bound_frac 0.1  or so (maybe somewhat smaller values).
Those determine how much the
initial point is moved away from the bounds, and for LPs, I think that the
default values of 0.01 (or something on that order), would not work well
for LPs.  Furthermore, you might also want to use a version of Mehrotra's
algorithm,
which you can enable with the options  mu_strategy adaptive corrector_type
affine corrector_compl_avrg_red_fact 2  Hope this helps,  Andreas