Free Python optimization framework

Tuesday, June 19, 2007

suggestions about COIN-OR IPOPT and other solvers

I have received a question from Alan Isaac about IPOPT, and I decided it's better to describe my opinion here.

>The IPopt solver (in C++) might be a nice addition to OpenOpt? https://projects.coin-or.org/Ipopt

I know about the IPOPT solver, as well as whole COIN-OR project, very well. BTW I heard there is very nice LP solver, that is used in the linearisation-based IPOPT solver (and it's one of the reasons why IPOPT works so good).
It is really very good solver, according to the Hans D. Mittelmann benchmark results:
ampl-nlp
mpec (with equality constraints)

The problems are:
1) I had seen only 1-2 python bindings to COIN-OR solvers. As far as I remember, it was PuLP (A Python Linear Programming modeler), and the way it was implemented is unsuitable for solving large-scale tasks (it demands its own GAMS-like syntax for describing LPs).
Other python binding (that I got from web search) was dated to 2001 or so, and hence is currently unsupported.
I'm enable to organize efficient python-C++ binding, especially to IPOPT, because it requires passing function handles, that is much more difficult than just simple matrices, as it is in LP or QP problems (btw COIN-OR QP solver isn't very good, see here). So, the problem of writing coin-or to python bridge is hard by itself, and keeping the code up-to-date is also very hard time-consuming task.
2) IPOPT, as well as whole COIN-OR project, has CPL license, that has copyleft statement.
3) I has already started writing a linearisation - based NLP solver, and it will have BSD license. Since it has similar to IPOPT algorithm (linearisation - based), it will have about the same tasks where it yields same results (either good or bad) as IPOPT.
Particularly, for linearisation-based solvers main problems are:
1) if some linearised constraints forms a linear-dependent system in a point x[k] (i.e. obtained in k-th iteration), then it's very hard for LP solvers to handle the situation, and it requires much more time (and cputime). The same problem arises if x_opt has same linear-dependent system of some linearised constraints.
2) Usually (if objfunc and NL constraints are not very costly) most of time/cputime in linearisation solvers is spend to solving of LPs (or QPs, if quadratic approach is used), hence good LP/QP solver is required, as I have mentioned above.
Since I've connected 3 LP solvers (they already had python bindings: glpk with cvxopt binding, cvxopt native lp solver and lp_solve with its own binding; also, non-free mosek lp solver with cvxopt binding is available, however, I didn't test the one properly). So I think number of free LP solvers is enough for now, and connecting COIN-OR LP solver shouldn't be primary task; the same to writing IPOPT or some other coin-or solvers binding.

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