[Ipopt] Stochastic lbfgs

[Stefan Vigerske]

Hi,

you can fork the project on GitHub, do your thing in your copy of the 
project, and then open a pull request to ask to get your changes merged 
into coin-or/ipopt.

Stefan

On 9/5/20 11:45 PM, Panos Lambrianides wrote:
> 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)
>