Setting absolute and relative tolerances does not change the required tolerances for the upper problem's solution. There currently isn't a standardized manner of setting this in MOI in large part due to the lack of standard convergence metrics across NLP solvers.
So we'll want to explicit support loading each NLP solver in the future, to prevent the user from needing to specify all options for solving the local problem or encountering numerical issues from mismatching tolerances.
We'll need to add a functions to do this the parsing steps, basically we should check for the solver name, then update parameters based on the solver name and the parameters set in EAGO. Throw a warning if the solver name isn't recognized.
mewilhel
commented
2 years ago
Currently, EAGO using Ipopt by default.
Setting absolute and relative tolerances does not change the required tolerances for the upper problem's solution. There currently isn't a standardized manner of setting this in MOI in large part due to the lack of standard convergence metrics across NLP solvers.
So we'll want to explicit support loading each NLP solver in the future, to prevent the user from needing to specify all options for solving the local problem or encountering numerical issues from mismatching tolerances.
We'll need to add a functions to do this the parsing steps, basically we should check for the solver name, then update parameters based on the solver name and the parameters set in EAGO. Throw a warning if the solver name isn't recognized.