Warm Start in NLP Solve #27
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Nice. Let me take a closer look. Definitely in love with this patch/PR!!! |
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It's been a year since I did this, but I'm pretty sure this is why I put "PY3" in the script name. I imagine someone could modify to support Python 2. |
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Has this already been merged into the master branch, @xuy ? Thank you very much! |
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| nlp = pyipopt.create(nvar, x_L, x_U, ncon, g_L, g_U, nnzj, nnzh, eval_f, eval_grad_f, eval_g, eval_jac_g) | ||
| nlp.str_option('warm_start_init_point', 'yes') |
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I apologize for getting back to this PR after, hmm, two years. 😞
Just merged another PR of python3 support, so we have one version of hs071 as example. I wonder if the following 5 lines can be added to example with an if toggle.
| @@ -551,8 +555,39 @@ PyObject *set_intermediate_callback(PyObject * self, PyObject * args) | |||
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| PyObject *solve(PyObject * self, PyObject * args) | |||
| // too much cut and paste ... | |||
| #define SOLVE_CLEANUP() { \ | |||
| { | ||
| static char *kwlist[] = {"x0", "userdata", "mult_g", "mult_x_L", "mult_x_U", NULL}; |
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I see. there is a subtle API change here (from args to kwargs), let me actually play with it a bit before saying it is good or bad.
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@andrewcron |
Hi Everyone,
I've added a new feature to allow the appropriate parameters to be passed to
solveto perform warm start optimization. (See http://www.coin-or.org/Ipopt/documentation/node49.html.) I've also included a new example variant ofhs071_PY3.pyto demonstrate the process.The primary change is the option to pass the various bound multipliers returned from a previous optimization to the
solvefunction as keyword only arguments along with some error checking. If they are passedmL,mU, andlambdainsolveare initialized instead of passed as empty arrays. When thenlp.str_option('warm_start_init_point', 'yes')option is set, these arrays will be read and the optimization will pretty much pick up where it left off.This helps solve a very common problem where the objective only changes slightly between runs of the optimizer, so we don't want to completely reinitialize if the optimization is expensive.
Thoughts?
Thanks!