[Ipopt] Using IPOPT as a Linear (Sub-)Solver for LP and QP Problems.

[jonathan.hogg at stfc.ac.uk]

If you're using SLP/SQP, the solution for one iteration is probably related to the iteration for the next. If you use a simplex/active set based solver such as CLP instead of an interior point one, you'll be able to warmstart which is harder to do with an IPM algorithm like Ipopt (if you want to get complicated you can look at crossover on the first iterate).

Jonathan.
________________________________________
From: ipopt-bounces at list.coin-or.org [ipopt-bounces at list.coin-or.org] on behalf of Stefan Vigerske [stefan at math.hu-berlin.de]
Sent: 01 September 2013 14:56
To: Jeffrey Dean Kelly
Cc: ipopt at list.coin-or.org
Subject: Re: [Ipopt] Using IPOPT as a Linear (Sub-)Solver for LP and QP Problems.

Hi,

I heard that enabling the mehrotra_algorithm can be useful when solving
LPs or QPs:
http://www.coin-or.org/Ipopt/documentation/node45.html

However, using a solver like Clp, which has been made especially for
LP/QP, could also give good performance.

Stefan

On 08/31/2013 02:10 PM, Jeffrey Dean Kelly wrote:
> Hi All;
>
> I am wondering what would be the best settings for the IPOPT options if
> IPOPT is being used to solve a pure LP or QP problem beyond the obvious
> ones of jac_c/d_constant = yes and hessian_constant = yes, etc.?
>
> I am embedding IPOPT has a sub-solver in a SLP framework whereby at each
> major iteration the Jacobian, etc. are re-estimated and IPOPT is called as
> a pure LP or QP.  However, it takes alot of minor iterations for IPOPT to
> converge the successive LP and QP sub-problems and hence the question.
>
> Looking forward to a response - Jeff
>
>
>
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