[Ipopt] how to select non linear solver

[Herzog Raoul]

Hi,

The linear solvers (MUMPS, MA57, etc) are only involved in the search of the "Newton" direction, not in the subsequent line search.
The choice of the linear solver mostly affects computation time, e.g. if the Hessian matrix is sparse, in some (rare) cases the choice of the linear solver may also affect convergence. 

--raoul

-----Message d'origine-----
De : Ipopt [mailto:ipopt-bounces at coin-or.org] De la part de Daniel Feenberg
Envoyé : Montag, 18. Dezember 2017 17:05
À : Wijekoon, Manusha <manusha.wijekoon at citi.com>
Cc : ipopt at list.coin-or.org
Objet : Re: [Ipopt] how to select non linear solver



On Mon, 18 Dec 2017, Wijekoon, Manusha  wrote:

> 
> Hi
> 
>  
> 
> I am trying to tackle a non-linear optimization problem and current 
> solver selected is MUMPS linear solver. I assume this solver cannot 
> solve non-linear problems?

All(?) non-linear optimization packages alternate between a non-linear step that chooses a direction of improvement, and a linear step that selects a distance along that direction. IPOPT offers a choice of solvers for the linear step, but that doesn't mean it can't solve a non-linear problem. Pick one and go ahead.

daniel feenberg
NBER