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| Optimization problem with thousands of variables http://forum.alglib.net/viewtopic.php?f=2&t=4588 |
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| Author: | morfeus80 [ Wed Dec 06, 2023 2:44 pm ] |
| Post subject: | Optimization problem with thousands of variables |
Hello everyone, I am trying to solve an optimization problem of a linear equation of the form F(x)=k1/x1+k2/x2+....+kn/xn, where "n" is of the order of 10k. The problem has about 10k non-linear equality and non-linear disequality constraints. To solve it I have used minnlc with SQP algorithm in C++, but the solution requires tenth of hours. Am I using a wrong solver that slows down everything or is this timing normal for the Alglib library? I saw the same problem to be solved in less than one minute, but I don't know which library had been used. |
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| Author: | Sergey.Bochkanov [ Thu Dec 07, 2023 4:38 pm ] |
| Post subject: | Re: Optimization problem with thousands of variables |
Hi! The reason is that SQP present in ALGLIB 4.0 is a dense BFGS-based SQP, which indeed takes too long on large-scale problems. An upcoming ALGLIB release will feature a large-scale SQP based on a L-BFGS update, which has much better performance. I will send you a development snapshot in a minute! |
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