[Ipopt] Some suggestions to speed up code sought

[jmogali at andrew.cmu.edu]

Hi,
     @Stefan -: Thanks for letting me know the ReOptimizeTNLP() option.
Also warm start has significantly improved the timings.

However, I observe that Hessian is being recalculated when
ReOptimizeTNLP() executes. I know that this has been included for
generality. I would like to however exploit the fact that throughout the
lifespan of my program, the Hessian I provide remains a constant. Is there
any way I can make IPOPT exploit this fact ?

On a side note, the MA97 solver is being used to solve the KKT matrix right ?

Thanks,
Jayanth

> Hi,
>
> if the structure of the Jacobian and Hessian do not change, have you
> considered using ReOptimizeTNLP() instead of OptimizeTNLP()?
> I haven't checked, but likely that will avoid calls that get the problem
> structure (n, m, sparsity pattern).
>
> There are also option to tell Ipopt that the Jacobian and the Hessian
> are constant (jac_c_constant, jac_d_constant, hessian_constant):
> http://www.coin-or.org/Ipopt/documentation/node43.html#SECTION000114070000000000000
>
> The TNLP is mostly implemented by you, while Ipopt only defines the
> interface. From the Ipopt point-of-view, it should be save to reuse the
> TNLP object.
>
> MA97 error -7 means that the matrix passed to MA97 is singular. See
> http://www.hsl.rl.ac.uk/specs/hsl_ma97.pdf for a full documentation of
> MA97.
>
> Stefan
>
> On 11/09/2015 03:35 AM, jmogali at andrew.cmu.edu wrote:
>> Hi,
>>       I would like to have some suggestions to speed up my code. I run
>> my
>> code in a loop where at each iteration I call the function
>> OptimizeTNLP(); however I create a single TNLP object that calls
>> OptimizeTNLP at each iteration. After every iteration, I change the
>> objective function I am optimizing by a little.
>>
>> 1. The structure of the hessian is constant across iterations, is there
>> a
>> way to make IPOPT avoid calling eval_h with values=null be passed to my
>> program at every iteration ?
>> On a similar note, my Jacobian is a constant
>> for all iterations, is there a way to make IPOPT avoid calling
>> eval_jac_g
>> , get_bounds_info for every iteration ?
>>
>> Please note that in the above question, by iterations I am NOT referring
>> to those when IPOPT executes OptimizeTNLP().
>>
>> 2. Is it safe to reuse the TNLP object between iterations?
>>
>> 3. I sometimes get the message "Error return from ma97_factor. Error
>> flag
>> =  -7" , does this mean the KKT matrix is singular ?
>>
>> Thanks,
>> Jayanth
>>
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>>
>
>
> --
> http://www.gams.com/~stefan
>