[Ipopt] convergence problem

Juan Carlos Lopez Alfonso jc.atlantis at gmail.com
Wed Feb 8 09:23:57 EST 2012

Hi all,

I have a serious problem with my optimization algorithm.

Supose that I have a problem where the convergence to the optimal
solution (and unique, because is convex) using IPOPT is achieved. This
convergence is achieved in several iterations, but it is always
achieved even when I change the options "tol" and "acceptable_tol" for
example 1e-10. Now I have removed a constraint and my problem still
have a unique solution, but the convergence is no achieved when the
tolerance are less than 1e-5. I have implemented the same problem in
matlab using the optimization toolbox and here for these two cases the
convergence is achieved when I change the tolerances.

The problem is the follows: when I set for example the tolerances
app->Options()->SetNumericValue("tol", 1e-8);
app->Options()->SetNumericValue("acceptable_tol", 1e-7);

the algorithm starts to decrease the function value, but when almost
is achieved the desired result (which I know comparing with matlab),
come several iterations (maybe 10) increasing the function value and
again iterations decreasing the function value, and so on.

I think that I have a problem with the step calculation or any
tolerance related with this. What it is clear si that the problem is
related with some options of IPOPT (ah, I am using mumps) because all
is compared with matlab which work perfect.

Please, could anyone give me suggestions
thank in advance and best regards
Juan Carlos

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