[Coin-ipopt] Feasible iterations only

[Andreas Waechter]

Hi Juan,

> I need to have Ipopt produce only feasible iterations. This is because I 
> need to write a callback routine that at every iteration checks for a 
> condition and if the condition is true, it must terminate the 
> optimization. I need to guarantee that at any time I terminate the 
> optimization I end up with a feasible point. The problem is convex.
>
> I am not sure which options I need to set to accomplish this. Any help 
> would be appreciated.

At this point, there is no option for Ipopt that forces it to keep only 
feasible iterates.  For convex problems, I think this is possible in 
principle, along the lines as it is done in the KNITRO code; see the paper

R. H. Byrd, J. Nocedal, and R. A. Waltz, "Feasible Interior Methods Using 
Slacks for Nonlinear Optimization", Computational Optimization and 
Applications, 26(1):35-61, 2003.

http://www.ece.northwestern.edu/%7Erwaltz/articles/feasible.pdf

However, it would take some time to implement this in Ipopt, and there are 
currently no plans to do that.  (Of course, contributions to the Ipopt 
project are always welcome!)

Regards,

Andreas