[Ipopt] Stochastic lbfgs

[Panos Lambrianides]

Thank you Stefan,

That’s what I was looking for. I can most likely tackle this myself and I
didn’t want to reinvent the whole framework.

Is there a process for branching ipopt out and contributing it back as an
option?

Best,
—Panos

On Fri, Sep 4, 2020 at 3:17 AM Stefan Vigerske <svigerske at gams.com> wrote:

> Hi,
>
>
>
> the silence may mean that there are no plans.
>
>
>
> There is an implementation of L-BFGS for Hessian approximation in the
>
> class LimMemQuasiNewtonUpdater:
>
> https://coin-or.github.io/Ipopt/classIpopt_1_1LimMemQuasiNewtonUpdater.html
>
> This is derived from HessianUpdater
>
> (https://coin-or.github.io/Ipopt/classIpopt_1_1HessianUpdater.html), so
>
> if one were to implement another Hessian approximation, then this should
>
> be derived from HessianUpdater, too, and
>
> AlgorithmBuilder::BuildHessianUpdater
>
> (
> https://coin-or.github.io/Ipopt/classIpopt_1_1AlgorithmBuilder.html#a4646cc682cbb462505b2dafd3971ef2d)
>
>
> should be extended to possibly instantiate the new class.
>
>
>
> Stefan
>
>
>
>
>
> On 8/29/20 9:35 PM, Panos Lambrianides wrote:
>
> > Hi Everyone,
>
> >
>
> > I wanted to ask if there were any plans to expand ipopt to include
>
> > stochastic lbfgs variants such as these
>
> > https://arxiv.org/pdf/1802.05374.pdf
>
> >
>
> > How much work do you think it would be to do so? It seems to me that
>
> > writing an optimizer from scratch that incorporates these new advances
> into
>
> > interior point methods is not the best approach.
>
> >
>
> >
>
> > Best,
>
> > -Panos Lambrianides
>
> > Department of Applied Mathematics UC Santa Cruz
>
> >
>
> >
>
> > _______________________________________________
>
> > Ipopt mailing list
>
> > Ipopt at list.coin-or.org
>
> > https://list.coin-or.org/mailman/listinfo/ipopt
>
> >
>
>
>
> --
Panos Lambrianides
panos at soe.ucsc.edu
(415) 713-6718 (Mobile)
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