[Ipopt] how to select non linear solver

[Wijekoon, Manusha]

Thanks Raoul,

I will try different solvers. However most of the solvers need licence for commercial use. This is OK as long as we can do an evaluation, but could not find any info on evaluation licences. I will keep on searching.

Thanks
Manusha
 


-----Original Message-----
From: Herzog Raoul [mailto:Raoul.Herzog at heig-vd.ch] 
Sent: 18 December 2017 22:17
To: Daniel Feenberg <feenberg at nber.org>; Wijekoon, Manusha [ICG-IT] <mw99659 at imceu.eu.ssmb.com>
Cc: ipopt at list.coin-or.org
Subject: RE: [Ipopt] how to select non linear solver

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