[Ipopt] variable number of constrains during optimization

[Ana Maria Barragan Montero]

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'), i.e. the problem will contain S constraints. For the purpose of speeding up computation time, I would like to reduce the number of constraints during the optimization. Is there a way to do this?


Any suggestions would be greatly appreciated.


Thank you and best regards,


Gregory




________________________________
Ana María Barragán Montero,
Postdoctoral fellow
Université catholique de Louvain
Molecular Imaging, Radiotherapy and Oncology (MIRO)
Avenue Hippocrate 54
B-1200 Bruxelles, Belgium
ana.barragan at uclouvain.be
+32(0) 27649527
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