[Ipopt] Warm starting

[Joel Andersson]

Hello!

We are trying to warm-start Ipopt in order to solve a serious of
problems that only defer in in one parameter; the structure remains
the same and the solution of one solution is a good initial guess for
the next. We tested feeding the primal and dual solution of the
previous problem into Ipopt (which helps a lot). but the number of
iterations for the hot-started solution is still too high.

We tested setting a couple of options: warm_start_bound_push to 1e-6,
warm_start_mult_bound_push to 1e-6, warm_start_init_point to "yes". We
also tried setting mu_init to 1e-5 _after_ the end of the first call
to ipopt.

Is there something more that we can do?

We also tested setting the option "warm_start_same_structure" to
"yes", but then we end up with an error message:

Exception of type: INVALID_WARMSTART in file
"IpStdAugSystemSolver.cpp" at line 84:
 Exception message: IsValid(augmented_system_) evaluated false:
StdAugSystemSolver called with warm_start_same_structure, but
augmented system is not initialized.

What is meant by the augmented system and how do you initialize it?

Kind regards,
Joel


-- 
Joel Andersson, PhD Student
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