[Ipopt] IPOPT and PARDISO

[Andreas Waechter]

Hi Johan,

Thanks you for your email.  In the future, for Ipopt related issues please 
write to the Ipopt mailing list; others might be able to answer more 
quickly or better than me, and the answer might also be of interest to 
someone else.  (I'm copying my answer to the mailing list now.)

> [...] My question is about the status of IPOPT and PARDISO, and in 
> particular the version of PARDISO that is included in MKL. I have read in the 
> Ipopt documentation that the MKL version is not suitable for use with Ipopt, 
> but that statement is contradicted by the the ticket #88 in the Ipopt trac. 
> So, I am not quite sure about the situation. Part of the reason why I ask is 
> that Modelon AB runs JModelica.org as a dual licensing project similar to 
> MySQL or TrollTech (Qt). If I understand correctly, the MKL license allows 
> for distribution of binaries under commercial licenses, and this would then 
> be a possible match to bundle PARDISO and IPOPT with the JModelica.org 
> platform. If the version of PARDISO in MKL is ready to go with IPOPT then I 
> guess i would be straight forward, but more tricky if this is not the case.

The version of Pardiso that is in the MKL does not have the features that 
are required by Ipopt for nonconvex optimization (it does not compute the 
inertia of the linear system).  The ticket you are referring to has the 
changes that you can make if you KNOW that your problem is convex (or if 
you want to just hope that you are lucky, ignoring possible nonconvexity 
of your problem).  So, unless you are solving convex problems, I guess 
this is not the answer you had hoped for.

One thing that might be helpful is that Stefan Vigerske wrote a "library 
loader" that allows Ipopt to load Pardiso at runtime, even if Ipopt has 
not been configured and compiled with Pardiso.  If you choose 
"linear_solver=pardiso" and Ipopt wasn't linked with Pardiso, it will 
attempt to find "libpardiso.so" and link to it.

> As a side note, we will be shipping binaries of IPOPT compiled with MUMPS för 
> Windows (mingw) which may be of some general interest. I had a look at the 
> binaries distributions of IPOPT available, but I did not find MinGW amongst 
> the provided alternatives.

Sure it would be great if there are binaries of Ipopt around!  If you make
binaries available for download on a website, we can add a link to that 
from the Ipopt Wiki page.

Regards,

Andreas