[Ipopt] Warm starting

[Andreas Waechter]

Hi Joel,

In general, it is very difficult to warm start interior point methods 
efficiently (even in the linear case).  The approach to experiment with 
the options warm_start_bound_push, warm_start_mult_bound_push, 
warm_start_init_point, and mu_init makes sense.  You might also want to 
consider the adaptive mu update...

I'm not sure why warm_start_same_structure does not work for you, but 
this does not lead to any significant speedup anyway, so I wouldn't 
worry about it too much...

There has been some work on trying to make warmstarts work better for 
interior point methods, but this has not been implemented in Ipopt.

Hope this helps,

Andreas Waechter

Associate Professor
Department of Industrial Engineering and Management Sciences
McCormick School of Engineering
Northwestern University
Evanston, IL 60208
USA


On 01/13/2012 07:35 AM, Joel Andersson wrote:
> 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
>
>