[Ipopt] Is IPOPT ok for small quadratic problem ?
Antonello Lobianco
antonello at lobianco.org
Thu Jan 23 08:21:42 EST 2014
Just for reference, for these small convex quadratic optimisations I ended
up using quadprog++ (http://quadprog.sourceforge.net/) which implements the
Goldfarb-Idnani active-set dual method and it has only an *optional*
dependency on uBoost. I can run 10.000 small problems in less than 8
seconds on a i7 laptop.
Thank you all.
2014/1/18 Stefan Vigerske <stefan at math.hu-berlin.de>
> Hi,
>
> IPOPT targets large-scale general nonlinear programs.
> A good specialized QP solver can give you much better performance than
> Ipopt, as, indeed, it has less overhead, and, second, it can do some
> algorithmic tricks that are not possible for general NLPs.
>
> If you still want to use Ipopt for QPs, you should enable the options
> jac_c_constant, jac_d_constant, and hessian_constant, so you can at least
> avoid recomputing Jacobian and Hessian in each point.
>
> Stefan
>
>
> On 01/16/2014 05:15 PM, Antonello Lobianco wrote:
>
>> Hello,
>> I develop in C++ a scientific model where I already use IPOPT (together
>> with ADOL-C and ColPack) to solve a large nonlinear problem.
>>
>> Now I need, in an other part of the model, to solve many (~10,000 per
>> simulation year) small quadratic problems of this form:
>>
>> min
>> sum_i sum_j a_{i,j} x_i x_j
>> s.t.
>> sum_i x_i = 1
>> x_i >= 0
>> sum_i x_i b_i = c
>>
>> with i=j ~ 10 and a_{i,j} >=0 for i = j
>>
>>
>> Do you suggest me to use IPOPT also for these problems or would it be
>> better to use a solver that is specialized in small quadratic programming
>> (little initialisation costs) ?
>>
>> Thanks,
>> Antonello
>>
>>
>>
>>
>> _______________________________________________
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>> Ipopt at list.coin-or.org
>> http://list.coin-or.org/mailman/listinfo/ipopt
>>
>>
>
--
Antonello Lobianco
AgroParisTech, Laboratoire d'Economie Forestière
14 Rue Girardet - 54000 Nancy, France
Tel: +33.383396865
Email: antonello.lobianco at nancy.inra.fr
http://antonello.lobianco.org
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