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 Post subject: Sparse SQP Solver
PostPosted: Fri Oct 11, 2024 6:50 am 
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Joined: Tue Apr 30, 2024 11:08 am
Posts: 6
Hi,

The documentation says (https://www.alglib.net/nonlinear-programming/sequential-quadratic-programming.php):

Quote:
A sparse version scalable to problems with tens of thousands of variables and sparse constraints


Is there a way of actually specifying the Linear Constraints in a sparse form? In my problem, each constraint only involves a handful of variables, which makes the matrix C very sparse, sometimes leading to memory issues.

Best
Matevž


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 Post subject: Re: Sparse SQP Solver
PostPosted: Sun Oct 13, 2024 2:23 pm 
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Joined: Fri May 07, 2010 7:06 am
Posts: 927
Hi!

Actually, this feature was recently added. However, I just checked online docs, it turns out that an old version was uploaded to the website :((( really sorry for the mistake, need to refactor release workflow.

What you need is provided by two sets of functions: minnlcsetlc2() that provides "set" semantics (complete rewrite of current constraints) and minnlcaddlc2...() that allows to add a constraint to the current list. The latter can sometimes be more convenient.

Sergey


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 Post subject: Re: Sparse SQP Solver
PostPosted: Mon Oct 14, 2024 7:51 am 
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Joined: Tue Apr 30, 2024 11:08 am
Posts: 6
That's awesome news.
As I see, you have already included this in ALGLIB version 4.02?


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 Post subject: Re: Sparse SQP Solver
PostPosted: Mon Oct 14, 2024 8:56 am 
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Joined: Fri May 07, 2010 7:06 am
Posts: 927
Exactly!

ALGLIB nonlinear programming already became much better this year, and we plan to improve it ever more. 4.04, which is planned for December, will definitely see a model-based derivative-free nonlinear programming solver. There is also a good chance that a nonlinear interior point method will be included, on many problems it has less overhead than SQP (although personally I dislike its inability to do warm start). And finally it is planned to introduce sparsity to the conic programming solver.


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