[Ipopt] Multi-start to get different local optimal

[Paul Smith]

On Sat, Jul 18, 2009 at 10:35 AM, Horand Gassmann<Horand.Gassmann at dal.ca> wrote:
>> I am using Ipopt to solve a problem, which has apparently many local
>> optima. Is there some way of changing the starting point of Ipopt from
>> a AMPL, in order to get different local optima??
>
> In that case you have a nonconvex problem, which is considerably harder to
> solve
> than a convex problem.
>
> There's a number of things you can do. You could look into the AMPL
> looping construct to build a loop that tests different starting points
> from inside of AMPL. You could use one of two COIN projects built
> on ipopt that allow you to handle global optimization problems, Bonmin
> or Couenne. You could use Optimization Services (another COIN-OR project ---
> http://projects.coin-or.org/OS). OS allows you to interface to a variety of
> solvers (COIN and other) including ipopt, bonmin and couenne.
>
> If you want to know more about OS, drop me a line.

Thanks, Gus, for your helpful reply. I thought Ipopt had something
similar to the multi-start option of Knitro:

«The default KNITRO behavior is to return the first locally optimal
point found, KNITRO offers a simple multi-start feature that searches
for a better optimal point by restarting KNITRO from different initial
points. The feature is enabled by setting the option, "MultiStart" to
one. The multi-start procedure generates new start points by randomly
selecting x components that satisfy the variable bounds. The number of
start points to try is specified with the option
"MaxMultiStartPoints". KNITRO finds a local optimum from each start
point and returns the best local optimum from all the multi starts.»

Maybe Ipopt developers will add this multi-start feature to Ipopt in the future?

Paul