[Ipopt] Numerical differences between runs

[Gwyn Roberts]

We are relatively new users of IpOpt and have been gaining
experience over the last several months with a small to medium scale (2-4K
variables/equations, 8-10K NZ (50% nonlinear)) nonlinear model application. We
are using the version 3.8.1 release binariesfor Windows (as a DLL). Our full scale models are
to the point where they solve quite nicely and robustly for most cases. However, we are
encountering unexplained differences in “trajectory” (e.g. number of
iterations, final convergence tightness, etc.) from run to run. This is the
nature of our main concern – repeatability of performance and results. For our
full model runs, the differences are manifest as different behaviours that
range from 1 or 2 extra iterations to some that near the point of closure end
up tripling the number of iterations and therefore the times. 
 
We find that the trajectory for a problem will change
depending on the problem solved previously, or, if running only a single
problem, will change depending on whether or not a file journal is added. From
looking at J_MOREVECTOR level output, we see that the departure in trajectory
seems to take a while to take hold (3-8 iterations). The first observable
behaviour is around the Barrier Parameter Update step and the max norm
calculations related to the underlying calculations there (we have settled on
adaptive strategy, but see the issues with monotone as well). There are
numerical differences in the 8-15th significant figures of the resid
and rhs vectors displayed at those journal levels. These appear ultimately to
affect the relevant norms in significant ways that may alter the behaviour of
the barrier slightly.
 
Can you comment on whether this is behaviour you have seen
or experienced yourself (i.e. this is known behaviour, issue)? If you have any
thoughts or guidance (or code changes) that might help us to eliminate the
floating point variability, we would greatly appreciate your help. We have not
yet taken the step of doing a full build of IpOpt ourselves, but have the
ability to do so. We would wait to hear your reaction and thoughts before
taking that on.
 
Thank you for your time and assistance.

Gwyn



      
-------------- next part --------------
An HTML attachment was scrubbed...
URL: http://list.coin-or.org/pipermail/ipopt/attachments/20100224/199ba396/attachment-0001.html