[Ipopt] new_x

[Bierlaire Michel]

Thank you. 

Yes, I am using quasi-Newton now. But the convergence is quite slow. If calculating the hessian saves a significant number of iterations, it may be worth calculating it. 

I’ll continue to investigate. 

Best regards,

Michel


> On 27 mars 2017, at 16:17, Stefan Vigerske <stefan at math.hu-berlin.de> wrote:
> 
> Hi,
> 
> no, it doesn't tell you that.
> I'm not sure that Ipopt itself always knows at the time of calling eval_f whether it will need the Hessian for that point later.
> 
> If the exact Hessian takes too long, you could try with Ipopt's Hessian approximation instead.
> 
> Stefan
> 
> On 03/27/2017 03:23 PM, Bierlaire Michel wrote:
>> Dear all,
>> 
>> I am using IPOPT through the C++ interface.
>> I am not sure how to use correctly the option “new_x” in the eval_* functions.
>> 
>> My problem calculates a likelihood function by scanning a large database.
>> It means that f takes a long time, g a very long time, and h a huge amount of time.
>> But, when I calculate h, I have f and g almost for free.
>> And when I calculate g, I have f almost for free.
>> 
>> It means that,
>> - for iterations that require f, g and h, I would need to only call h (and store f and g),
>> - for iterations that require f and g, I would need to call g (and store f).
>> - for iterations that require only f, I would calculate only f.
>> 
>> But how can I use the ’new_x’ mechanism to implement that?
>> The documentation says “The boolean variable new_x will be false if the last call to any of the evaluation methods (eval_*) used the same  values.”
>> I do not want to calculate g and h each time eval_f is called. At the time of the call, how do I know if IPOPT will need g and h for this iteration? new_x does not tell me anything about it, does it?
>> 
>> Thank you for your help.
>> 
>> Best regards,
>> 
>> 
>> Michel Bierlaire
>> Transport and Mobility Laboratory
>> School of Architecture, Civil and Environmental Engineering
>> EPFL - Ecole Polytechnique Fédérale de Lausanne
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> 
> 
> -- 
> http://www.gams.com/~stefan

Michel Bierlaire
Transport and Mobility Laboratory
School of Architecture, Civil and Environmental Engineering
EPFL - Ecole Polytechnique Fédérale de Lausanne
http://transp-or.epfl.ch
http://people.epfl.ch/michel.bierlaire