Merge b482b29 into 870f037

src/MOIWrapper.jl

@@ -674,6 +674,14 @@ function MOI.optimize!(m::IpoptOptimizer)
                             length(hessian_sparsity),
                             eval_f_cb, eval_g_cb, eval_grad_f_cb, eval_jac_g_cb,
                             eval_h_cb)
+
+    # Ipopt crashes by default if NaN/Inf values are returned from the
+    # evaluation callbacks. This option tells Ipopt to explicitly check for them
+    # and return Invalid_Number_Detected instead. This setting may result in a
+    # minor performance loss and can be overwritten by specifying
+    # check_derivatives_for_naninf="no".
+    addOption(m.inner, "check_derivatives_for_naninf", "yes")
+
     if !has_hessian
         addOption(m.inner, "hessian_approximation", "limited-memory")
     end
@@ -731,6 +739,8 @@ function MOI.get(m::IpoptOptimizer, ::MOI.TerminationStatus)
         return MOI.InvalidModel
     elseif status == :Invalid_Problem_Definition
         return MOI.InvalidModel
+    elseif status == :Invalid_Number_Detected
+        return MOI.InvalidModel
     elseif status == :Unrecoverable_Exception
         return MOI.OtherError
     elseif status == :NonIpopt_Exception_Thrown

src/MPBWrapper.jl

@@ -94,10 +94,17 @@ function MPB.loadproblem!(m::IpoptMathProgModel, numVar::Integer, numConstr::Int
 
 
     m.inner = createProblem(numVar, float(x_l), float(x_u), numConstr,
-    float(g_lb), float(g_ub), length(Ijac), length(Ihess),
-    eval_f_cb, eval_g_cb, eval_grad_f_cb, eval_jac_g_cb,
-    eval_h_cb)
+                            float(g_lb), float(g_ub), length(Ijac), length(Ihess),
+                            eval_f_cb, eval_g_cb, eval_grad_f_cb, eval_jac_g_cb,
+                            eval_h_cb)
     m.inner.sense = sense
+
+    # Ipopt crashes by default if NaN/Inf values are returned from the
+    # evaluation callbacks. This option tells Ipopt to explicitly check for them
+    # and return Invalid_Number_Detected instead. This setting may result in a
+    # minor performance loss and can be overwritten by specifying
+    # check_derivatives_for_naninf="no".
+    addOption(m.inner, "check_derivatives_for_naninf", "yes")
     if !has_hessian
         addOption(m.inner, "hessian_approximation", "limited-memory")
     end