[Ipopt] A large optimization problem

[Sebastian Nowozin]

Hi Krish,

Krish Krishnan wrote:

> I have a rather large portfolio optimization problem.  I am trying to 
> use IpOpt with Mumps (due to licensing issues).
> I first outline the steps to create the problem.

I had bad experience with MUMPS and repeated crashes.  (Although I admit 
that my optimization problems were quite degenerate.)  The HSL MA27 code 
worked best for me and never crashed.

> Here nassets = 501, kvars = 22 so the number of non-zeros are fairly 
> large.  I provide the needed jacobians and hessians.

Have you verified the gradient and Hessian to be correct?  IpOpt offers 
a check option for this.

Also, have you prototyped the system before and seen it working on 
smaller problems?

Sebastian