| forum.alglib.net http://forum.alglib.net/ |
|
| Sparse SQP Solver http://forum.alglib.net/viewtopic.php?f=2&t=4641 |
Page 1 of 1 |
| Author: | mfabjancic [ Fri Oct 11, 2024 6:50 am ] |
| Post subject: | Sparse SQP Solver |
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 |
|
| Author: | Sergey.Bochkanov [ Sun Oct 13, 2024 2:23 pm ] |
| Post subject: | Re: Sparse SQP Solver |
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 |
|
| Author: | mfabjancic [ Mon Oct 14, 2024 7:51 am ] |
| Post subject: | Re: Sparse SQP Solver |
That's awesome news. As I see, you have already included this in ALGLIB version 4.02? |
|
| Author: | Sergey.Bochkanov [ Mon Oct 14, 2024 8:56 am ] |
| Post subject: | Re: Sparse SQP Solver |
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. |
|
| Page 1 of 1 | All times are UTC |
| Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group http://www.phpbb.com/ |
|