[Ipopt] Ticket 216 - interface to MKL PARDISO

[Kalinkin, Alexander A]

Hi Tony,
I see. I will check current implementation of inertia functionality to provide deeper answer on this question. Nevertheless, is inertia is only one barrier or there is another requests?
Thanks,
Alexander

-----Original Message-----
From: Tony Kelman [mailto:kelman at berkeley.edu] 
Sent: Wednesday, August 21, 2013 10:52 AM
To: Kalinkin, Alexander A
Cc: ipopt at list.coin-or.org
Subject: Ticket 216 - interface to MKL PARDISO

Alexander,

I would’ve responded to this on the ticket page you opened (https://projects.coin-or.org/Ipopt/ticket/216), but it appears there was an update to Trac today and I can’t seem to log in.

You’ve probably done the searching as well regarding past discussions on this topic, but I’ll include links here anyway to a few that I was able to find for reference's sake:

https://projects.coin-or.org/Ipopt/ticket/88
http://list.coin-or.org/pipermail/ipopt/2009-June/001583.html
http://list.coin-or.org/pipermail/ipopt/2008-January/000990.html
http://list.coin-or.org/pipermail/ipopt/2011-September/002567.html

In the 2008-2009 time frame of the first three links, the biggest issue was that MKL's PARDISO implementation did not calculate and/or output the inertia of the factorized matrix. The fourth link from 2011 indicates the inertia was added in a relatively recent version of MKL. Olaf Schenk provided a reference there to a paper "Matching-based Preprocessing Algorithms to the Solution of Saddle-Point Problems in Large-Scale Nonconvex Interior-Point Optimization" that describes the remaining feature present in the primary implementation of PARDISO that is not yet available (or was not at the time) in the MKL version. Can you comment on whether the pivoting algorithm described in that paper is or could be implemented in Intel MKL's version of PARDISO?

Glad you posted, this could be a quite helpful alternative to provide users of Ipopt.

-Tony


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