[Ipopt] Slow convergence for simple problem

[Andreas Waechter]

Hi Swagato,

If you do not provide second derivatives to Ipopt, it uses a 
quasi-Newton approximation, which is not the same as computing the 
actual second derivatives, and can be much slower.  Since you have the 
Hessian (C) available, I strongly suggest you write the code to return 
it to Ipopt.

Andreas

On 09/20/2011 01:56 PM, Acharjee Swagato wrote:
> Hi Andreas,
> I checked the first derivatives using the derivative checker, there 
> are no errors. I did not code the second derivative, so IPOPT is 
> calculating it by itself. C is positive definite as I can solve the 
> same problem using a quadratic optimizer.
> Swagato
>
> ------------------------------------------------------------------------
> *From:* ipopt-bounces at list.coin-or.org 
> [mailto:ipopt-bounces at list.coin-or.org] *On Behalf Of *Andreas Waechter
> *Sent:* Tuesday, September 20, 2011 2:43 PM
> *To:* ipopt at list.coin-or.org
> *Subject:* Re: [Ipopt] Slow convergence for simple problem
>
> Hi Swagato,
>
> Did you verify that your coded the first and second derivatives 
> correctly, using the derivative checker?  Is C positive definite?  (If 
> not, Ipopt might something take a large number of iterations getting 
> out of a nonconvex region)
>
> Andreas
>
>
>
> On 09/20/2011 07:40 AM, Acharjee Swagato wrote:
>> Hello IPOPT team,
>> I am a new user of IPOPT. I have a newbie question. I am trying to 
>> solve a simple mean variance quadratic optimization problem of the form
>> min(X) - alpha*X + XCX'
>> I have some bounds on the variables and no other constraints. I am 
>> using the ma27 solver with no hessian approximation.
>> For a 2500 variable problem I do not see IPOPT converging for 10-15 
>> minutes for 3000+ iterations using default tolerance. As a comparison 
>> I can solve the same problem using the quadprog library in R in much 
>> less time. I am wondering what I am doing wrong.
>> Thanks,
>> Swagato
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> recipient(s) and/or the intended recipient's designees and may contain 
> proprietary, confidential and/or privileged information. Any use, 
> retention or dissemination by a person other than the intended 
> recipient is strictly prohibited. If you are not the intended 
> recipient or designee, please notify the sender immediately by return 
> e-mail and delete/destroy all copies of this communication. Any 
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