[Ipopt] Ipopt - change uncertainty set for robust optimization

[Gregory Buti]

Dear all,


I am using Ipopt (via Matlab interface) for a worst-case robust 
optimization over a uncertainty set S (containing |S| number of 
'scenarios'). For the purpose of speeding up computation time, I would 
like to reduce the uncertainty set during the optimization. So for 
example, start with all S scenarios at the start and after a couple 
iterations reduce the uncertainty set to a reduced number of scenarios.


Any suggestions would be greatly appreciated.


Thank you and best regards,


Gregory