[Ipopt] Lagrange Multipliers, Scaling, and convergence tolerance

Stefan Vigerske stefan at math.hu-berlin.de
Mon Mar 27 12:54:45 EDT 2017


I never used the user-scaling option, but I would presume that the 
returned multipliers are not scaled, that is, that they correspond to 
the original problem. That's how it is for the other scaling options and 
I don't think it should be different when using user defined scaling values.

You can just try it out by looking at the multipliers with your 
user-scaling enabled and disabled.


On 02/28/2017 11:26 PM, Brad Bell wrote:
> I am trying to understand the definition of the Lagrange multiples
> lambda returned by
> finalize_solution when the scaling method is user-scaling.
> It is not clear to me (from the documentation) if these multipliers are
> for the the original space, where f(x) and g(x) are defined, or in the
> scaled problem ?
> I am using the Lagrange multipliers to check the convergence tolerance
> which
> seems to me (form the documentation) to be in the scaled space.
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