[Ipopt] Suggestions for a quadratic programming solver?

[Antonello Lobianco]

Thank you all for the pretious suggestions.. I will report my findings on
the list

Antonello

2013/2/8 Jonathan Currie <jonathan.currie at aut.ac.nz>

> Hi Antonello,****
>
> ** **
>
> For an indication of performance of available (large, sparse) QP solvers
> have a look at H. Mittelmann’s benchmarks:****
>
> http://plato.asu.edu/ftp/qpbench.html****
>
> ** **
>
> From that list (which does not include all QP solvers obviously), free
> ones include BPMPD (closed source, as stated), IPOPT, OOQP, CLP (all open
> source) as well as CPLEX, GUROBI both offer very good academic licenses
> (free for 1 year, or something similar). I am not sure on the ‘free’
> availability of the other solvers, probably limited time licenses available.
> ****
>
> ** **
>
> In my opinion if you are comfortable with calling IPOPT from C++, then
> this is probably the best to stick with, and offers good performance. Just
> remember to set the options as suggested by Thomas Vacek. Generating the
> Hessian and Gradients is not too difficult for the NLP:****
>
> ** **
>
> Given a QP of the form min x  0.5*x’*H*x + f’*x****
>
>                                                 St.             rl <= A*x
> <= ru****
>
>                                                                   lb <= x
> <= ub****
>
> ** **
>
> Then the Hessian is:****
>
> Hess = 0.5*(H + H’)
>
> ****
>
> And objective gradient is:****
>
> Grad = 0.5*(H + H’)*x + f****
>
> ** **
>
> And the Jacobian is simply the A matrix from your linear constraints. Note
> for linear constraints the Hessian of the Lagrangian only contains
> quadratic terms from the objective (as Hess above), and no constraints
> feature (given they are all linear). See Ogata Discrete Time Control
> Systems for more details on the above.****
>
> ** **
>
> Alternatively consider looking at OOQP, which I have found to be quite an
> effective QP solver. If you are a MATLAB user have a look at my OPTI
> Toolbox (http://www.i2c2.aut.ac.nz/Wiki/OPTI/) which includes CLP, OOQP,
> SCIP (academic only) and IPOPT for solving QPs, so you can experiment with
> which works best for your problems.****
>
> ** **
>
> Regards,****
>
> ** **
>
> Jonathan****
>
> ** **
>
> ** **
>
> ** **
>
> *From:* ipopt-bounces at list.coin-or.org [mailto:
> ipopt-bounces at list.coin-or.org] *On Behalf Of *Antonello Lobianco
> *Sent:* Friday, 8 February 2013 4:36 a.m.
> *To:* Damien Hocking
> *Cc:* ipopt at list.coin-or.org
> *Subject:* Re: [Ipopt] Suggestions for a quadratic programming solver?****
>
> ** **
>
> can't really find it...****
>
> 2013/2/7 Damien Hocking <damien at khubla.com>****
>
> Google has their QP solver they use in Maps and StreetView available on
> Google Code.
>
> Damien****
>
> ** **
>
> On 07/02/2013 7:58 AM, Antonello Lobianco wrote:****
>
> Hello.. I use normally ipopt but for a project I need a solver for a
> Quadratic Problem (so I don't need to pass all the extra-information for
> general nonlinear programming.. hessian, jacobian..)
>
> For LP I use GLPK, but I am now lost on what to use for QP.. within the
> COIN-OR projects I can see Clp, but from the manual I got that QP is not at
> his core...
> Then I found JOptimizer, but again I have no idea of the performances nor
> how it will be easy to link a java program from a C++ program (I never used
> Java)..
>
> Any suggestions? I would prefer to find an open source fast QP solver
> working on Linux/Win (MinGW).
>  Thank you...
>
> --
> Antonello Lobianco
> INRA, Laboratoire d'Economie Forestière
> 14 Rue Girardet - 54000 Nancy, France
> Tel: +33.652392310
> Email: antonello.lobianco at nancy-engref.inra.fr
> http://antonello.lobianco.org ****
>
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>
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>
>
>
> --
> Antonello Lobianco
> INRA, Laboratoire d'Economie Forestière
> 14 Rue Girardet - 54000 Nancy, France
> Tel: +33.652392310
> Email: antonello.lobianco at nancy-engref.inra.fr
> http://antonello.lobianco.org ****
>



-- 
Antonello Lobianco
INRA, Laboratoire d'Economie Forestière
14 Rue Girardet - 54000 Nancy, France
Tel: +33.652392310
Email: antonello.lobianco at nancy-engref.inra.fr
http://antonello.lobianco.org
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