[Ipopt] how to select non linear solver

[Antonello Lobianco]

I think you have a bit of confusion.
You posted on the "ipopt" mailing list.
"ipopt" is a solver engine for non linear problems. It is free and has, by
itself, no limits (and, by the way, let you choose between different
"linear solvers" for the linear part of solving a nonlinear problem.. let's
call them "subsolvers". The default MUMPS is fine.)

Now, how do yo use IPOPT ?
You can use it trough the C++ interface. But "coding" a model in C++,
taking care of multiple dimensions of your problem, passing IPOPT the first
and second derivatives (or using automatic differentiation libraries -
ADOL-C and ColPack in my case) is long and complex.

So you use IPOPT within an Algebric Modelling Language, that allows you to
code your model in a simple equation-like style.
Two of the oldests AML - GAMS and AMPL- are commercial. Even to use IPOPT -
by itself free- they ask you money.
Nowaday you have better alternatives, like Pyomo for Python or JuMP for
Julia.
If you don't have "path dependency", e.g. having to work with someone that
uses only GAMS or AMPL, go for them and you can use IPOPT totally for free
(and use nice, easy to integrate languages).

Antonello




On 19 December 2017 at 10:01, Wijekoon, Manusha <manusha.wijekoon at citi.com>
wrote:

> 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
>
> _______________________________________________
> Ipopt mailing list
> Ipopt at list.coin-or.org
> https://list.coin-or.org/mailman/listinfo/ipopt
>
>
>
>
>


-- 
Antonello Lobianco
AgroParisTech, Laboratoire d'Economie Forestière
14 Rue Girardet - 54000 Nancy, France
Tel: +33.383396865
Email, university: antonello.lobianco at inra.fr
<antonello.lobianco at nancy.inra.fr>
Email, personal: antonello at lobianco.org
http://antonello.lobianco.org
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