[Ipopt] evaluating only a subset of constraints
Tony Kelman
kelman at berkeley.edu
Tue Jun 2 11:27:19 EDT 2015
> If during the optimisation in a given iteration only a subset of
> constraints needs to be evaluated
I don't think this ever happens in an interior-point algorithm.
If your function evaluations are very expensive, that is probably a good
enough reason to prefer an SQP solver like NAG or SNOPT over an interior
point solver like Ipopt, since generally you'll have fewer outer iterations
with SQP but fewer total iterations with interior-point. When the function
evaluations are cheap you care more about the linear algebra cost of the
total number of iterations, but when they are expensive you care more about
the number of function evaluations.
There are other considerations like the fact that Ipopt is open-source but
NAG and SNOPT are not, though none of the sparse linear algebra libraries
for use with Ipopt are redistributable other from Mumps.
-Tony
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