[Ipopt] Problem with partly-linear constraints

Илья Палачев iliyapalachev at gmail.com
Mon May 18 06:21:06 EDT 2015


I'm solving a problem with N^2 constraints. Ipopt solves it correctly.

There is a method how to check all N^2 in a very fast time.
That means that constraints are

g_{i j} (x) >= 0,
i = 1, ..., n
j = 1, ..., n

where all g_{i j} are partly-linear (or partly quadratic).
And there is a method how to compute functions

g_i (x) = min_{j = 1, ..., n} g_{i j} (x)

very fast, i. e. in O(N log N) time.
Can I use Ipopt to solve the problem with g_i and will it be stable for it?


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