Comments (8)
LBFGS has been implemented in this PR: #221
At the end, we do not depend on JSO for the LBFGS implementation, and use instead the compact representation introduced in:
Byrd, Richard H., Jorge Nocedal, and Robert B. Schnabel. "Representations of quasi-Newton matrices and their use in limited memory methods." Mathematical Programming 63, no. 1 (1994): 129-156.
This is similar (with slight differences) to what is currently implemented in Ipopt.
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Solved by #221
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Thank you for your support! We would love seeing MadNLP integrated in NonConvex.jl in the medium term :)
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I am running into a similar issue. I think we could build something directly in the Hessian callback by wrapping the LBFGS operator implemented in JuliaSmoothOptimizers:
https://github.com/JuliaSmoothOptimizers/LinearOperators.jl/blob/master/src/lbfgs.jl
It's not direct to implement, but I think it's doable. In my opinion, the main difficulty is passing the LBFGS matrix to the KKT matrix before solving the linear system.
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I think we should use the Schur complement to solve the system. Assume D is the Hessian below.
The linear system M \ b
can be solved easily if we have an operator x -> D^-1 * x
.
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Thanks for bringing this up @mohamed82008 @frapac. I agree that MadNLP should have a quasi-Newton option. The linear operator implementation for LBFGS in JSO looks great; maybe we can use this.
It seems to me that this may take a good amount of time though. I'll try to implement this over the summer but can't promise anything yet. I'll keep this issue open and update the progress here.
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Been admiring this work from a distance. Glad it finally made it in
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Maybe I'm missing something but, should it means that user-defined function with JuMP + MadNLP should work now ?
I'm still getting the Hessian information is needed.
error using JuMP 1.11.1 and MadNLP 0.7.0
Related to : #115
edit : I'm not sure that you still receive notification after the issue is closed so : @frapac @sshin23
Thanks
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Related Issues (20)
- Time-to-first-solve (TTFS) HOT 2
- Incorporate lower/upper bound views to KKTRHS
- Change function names
- Add support for equality constraints in DenseCondensedKKTSystem HOT 1
- LapackGPUSolver goes into feasibility restoration when LapackCPUSolver does not HOT 3
- Number of upper and lower bounded vars are incorrectly reported HOT 1
- Definition of primal solution? HOT 3
- Reuse existing `MadNLPSolver` HOT 4
- Possibly wrong init of dual variables
- Unable to install HSL extension in Windows HOT 7
- Test for `solve!` function HOT 1
- Better error message when invalid number detected HOT 1
- Fixed variable multiplier
- Wrong solution in QuickStart example HOT 1
- Invalid number in NLP Hessian Lagrangian detrected / error in MadNLP HOT 3
- MadNLP stucks at an iteration HOT 2
- Problems with relocatability HOT 1
- MadNLP.jl is not precompiling in julia 1.9 HOT 2
- Restoration failed when using MadNLP for ODE parameter estimation HOT 2
- Using weak dependencies
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