[Ipopt] Ipopt with Intel MKL Pardiso

[Neil Windelinckx]

Many thanks,
I'll let the Intel MKL team know this as they were asking what was missing from their pardiso implementation with respect to IPOpt.
Hopefully they may be able to fix this problem.
Neil.

From: ipopt-bounces at list.coin-or.org [mailto:ipopt-bounces at list.coin-or.org] On Behalf Of Olaf Schenk
Sent: 16 September 2011 11:54
To: ipopt at list.coin-or.org
Subject: Re: [Ipopt] Ipopt with Intel MKL Pardiso

Hi Neil,

IPOPT needs an accurate pivoting strategy that is described in

O. Schenk, A. Wächter, and M. Hagemann, Matching-based Preprocessing Algorithms to the Solution of Saddle-Point Problems in Large-Scale Nonconvex Interior-Point Optimization. Journal of Computational Optimization and Applications, pp. 321-341, Volume 36, Numbers 2-3 / April, 2007

This pivoting option is not available in MKL and therefore the inertia computation in MKL is not reliable.

Regards,
Olaf


On 09/16/2011 12:22 PM, Neil Windelinckx wrote:
For a number of years it has been said that the version of Pardiso provided with Intel MKL is not compatible with IPOpt. (eg http://list.coin-or.org/pipermail/ipopt/2009-June/001583.html )

However, looking back through these discussions they say that it is not compatible because the MKL version it does not compute the inertia of the linear system (or from the IPOpt pre-requisites page "Note that IPOPT requires that the linear solver is able to provide the inertia (number of positive and negative eigenvalues) of the symmetric matrix that is factorized.").
Having looked at the Intel MKL documentation, the inertia is provided in MKL version 10.3 (it was not provided with version 10.0).

Does this now mean that the Intel MKL version of pardiso is now compatible with IPOpt? Or is there some other reason that it will not work correctly?

Thanks
Neil.





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