[Ipopt] Warm start

[Andreas Waechter]

Hi Tom,

I'm a little surprised you need to manually reorder the matrix given to 
the linear solver...  Usually, those codes try to find a suitable ordering 
themselves, although this works differently well.  Have you tried a 
different linear solver?  Also, I don't quite understand why you need to 
change the ordering during the optimization - is the nonzero structure 
changing between iterations?

In any case, there are different levels of warm-starting Ipopt.  One is to 
use the warm_start_init_point option and to supply values for primal and 
dual variables.  However, since you are probably working with the TNLP 
interface, this does not restore exactly how things where in Ipopt 
internally at the end of the previous run (e.g., after an eary stop after 
10 iterations).   The thing is that Ipopt internally works with an 
"NLP" and there is some translation done between the TNLP and the NLP.  To 
really restore the iterate, you could try to use a hidden and unsupported 
feature of Ipopt, using the warm_start_entire_iterate option.  But this is 
somewhat complicated, and you would have to dig through the code and see 
how it works.  We implemented this in the context of the MINLP solver 
Bonmin, where it had been used at some point, and you could look at that 
as an example, but I'm not sure if the code in Bonmin is currently woring. 
If you wanted to try that approach, look at the files

Bonmin/src/Interfaces/BonTMINLP2TNLP.cpp
Bonmin/src/Interfaces/Ipopt/*pp

for a start, the code surrounding the get_warm_start_iterate method.

In addition, you can use the mu_init option to set the initial value of 
the barrier parameter in your restart to what you had when you stopped 
Ipopt the last time.

Hope this helps,

Andreas

On Tue, 19 Apr 2011, Tom Vacek wrote:

> Hello all,
>
> I have a problem that has some symmetries that can be exploited in order
> to reduce pivoting.  The problem has a diagonal Hessian, so my goal is
> to reorder the variables in the problem so that the elements that need
> pivoting are at the end of the diagonal, where they will cause the least
> fill-in (using ma57).
>
> Optimally, the reordering would be done at each iteration.  I hacked
> this out using warm start (reordering every 10 iterations).  It works
> remarkably well given that most iterations are wasted rediscovering the
> barrier parameter from before the reordering.  Clearly, I need a better
> way to restart the solver.  Does anyone have any advice for me?
>
> Thanks,
>
> Tom
>
> _______________________________________________
> Ipopt mailing list
> Ipopt at list.coin-or.org
> http://list.coin-or.org/mailman/listinfo/ipopt
>
>