TODO (help wanted) - Githubissues

anriseth commented 6 years ago

Here's a list of things that I believe we should focus on next. If anyone is interested in helping out here that would be very much appreciated.

Interface

[ ] Enable value! et al. for the constraints in NLSolversBase top priority
[ ] Add a quasi-Newton algorithm
[ ] Update MathProgBase interface
[ ] Add a Newton-Krylov scheme

Interior / IPNewton

[ ] Support sparse Hessian and sparse constraint Jacobian top priority
[ ] Figure out how to enable the autodiff-tests in constraints.jl again
[ ] Move "show_linesearch` to Optim.options
[ ] Rethink how to deal with allow_f_increases for constrained problems (it should "always" be allowed)
[ ] There are lots of functions from Tim's PR that are not used anywhere. Figure out what to delete.

Linesearch

[ ] Figure out how Tim inteded to use backtrack_constrained (only backtrack_constrained_grad works at the moment)
[ ] Move line searches to LineSearches.jl (after we change the interface in LineSearches)

Testing

[ ] Add more constrained optimization tests to OptimTestProblems
[ ] Update OptimTests to work with ConstrainedOptim (We need sparse Hessian + Jacobian support before going all in on CUTEst problems)
[ ] Compare against Ipopt

cortner commented 6 years ago

instead of quasi-newton how about a Newton-Krylov scheme? Should be easier to build into the current code.

pkofod commented 6 years ago

instead of quasi-newton how about a Newton-Krylov scheme? Should be easier to build into the current code.

That would be interesting as well, sure.

anriseth commented 6 years ago

instead of quasi-newton how about a Newton-Krylov scheme? Should be easier to build into the current code.

To clarify, do you mean supporting "Hessian-free" (Hessian-vector) type Newton-Krylov, or to support, for example, IterativeSolvers.jl? I have only dealt with Newton-Krylov in the context of nonlinear equations, where it can also mean that you use some iterative solver for the problem (Jacobian*dx = Residual), regardless of whether the Jacobian is assembled or not.

cortner commented 6 years ago

In A NK scheme you can replace the hxv with finite differences- that is the advantage for me

anriseth commented 6 years ago

I've added Newton-Krylov to the list :)

gragusa commented 6 years ago

I will start updating the MathProgBase interface.

anriseth commented 6 years ago

I will start updating the MathProgBase interface.

Thanks for doing that, @gragusa :) Note that we have added the IPNewton code from this repository to Optim now, so I think you should be able to update the interface with using Optim instead of ConstrainedOptim. Ref https://github.com/JuliaNLSolvers/Optim.jl/pull/608 https://github.com/JuliaNLSolvers/Optim.jl/issues/609

I also see that the JuliaOpt group have started implementing the solver interfaces with MathOptInterface now, as they are planning to move away from MathProgBase (Refs https://github.com/JuliaOpt/Ipopt.jl/pull/108 https://github.com/JuliaOpt/Ipopt.jl/pull/116). I don't know whether it is more complicated to interface to MOI and therefore less time consuming to do this for MPB, but it seems like MOI is the future.

JMmontilla commented 5 years ago

Could a SQP method be implemented as well? I use it in the NLOpt suite and is the one that works best for me in general. I would like to help and try to implement it myself, but I have a lot to learn of Julia before. Aside from that this package is great :), will probably use it.

pkofod commented 5 years ago

Yes, SQP methods are certainly on the table. Notice that his functionality is now in Optim.jl :)

JuliaNLSolvers / ConstrainedOptim.jl

TODO (help wanted) #4