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coin-or / Ipopt

COIN-OR Interior Point Optimizer IPOPT
https://coin-or.github.io/Ipopt
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Question about warm starting and Lagrange multipliers #771

Closed tepperly closed 3 months ago

tepperly commented 3 months ago

I am using Ipopt to solve large NLP's where the code to evaluate the objective, gradients, and their derivatives are executed on a parallel supercomputer. I am working on implementing a checkpoint/restart (or checkpoint/warm start in this case) feature to enable restarting Ipopt if the NLP algorithm does not converge before our supercomputing allocation runs out or some other system error occurs. Supercomputer jobs have maximum time limits, and the job is killed when the deadline is reached.

My TNLP::intermediate_callback() method saves x, z_L, z_U, and lambda to disk. When I want to warm start, I've loaded these quantities from disk, and they are available when TNLP::get_starting_point() is called. The warm_start_init_point parameter is set to yes. I was somewhat surprised to see that TNLP::get_starting_point() is called with the init_z and init_lambda input parameters set to false. The warm start only uses the saved x values.

Are there settings to enable Ipopt to request and use the multiplier information in the get_starting_point() call? Or is TNLP::get_warm_start_iterate() what I should look into? If so, is there a canonical way for an implementer of TNLP to get the IteratesVector during a call to TNLP::intermediate_callback()?

svigerske commented 3 months ago

Ipopt usually calls TNLP::get_starting_point() twice. The first time is when computing the scaling parameters. In this case, it doesn't need duals and calls with init_z and init_lambda set to false. (so this means that Ipopts automatic scaling depends on the starting point, which may be relevant for you) The second time is for initializing the actual starting point. There you should get init_z and init_lambda being true.

ip_data.curr() should give a representation of the current iterate as an IteratesVector. Bonmin uses this in its attempts to warmstart Ipopt (https://github.com/coin-or/Bonmin/blob/master/src/Interfaces/Ipopt/BonIpoptInteriorWarmStarter.cpp#L78C29-L78C44).

tepperly commented 3 months ago

Thanks! I believe this resolves the issue.