Parametric sensitivity calculation in the Nlpsol base class #724

jaeandersson · May 10, 2013

The NLP solver base class has now an output for parametric sensitivities, see #566. This should be calculated during the optimization (possibly using the fact that it's an auxilliary output for the Hessian evaluation).

As a by-product of this calculation, correct multipliers could be calculated, which should be possible without extra overhead. This would resolve for example #667.

ghorn · Oct 29, 2013

what's the status of this?

jaeandersson · Oct 29, 2013

Not implemented, but relatively easy to implement. Suggested way forward: get it to work for SQPMethod (or other NLP solver), then move implementation to the base class.

jaeandersson · Jul 10, 2014

Postponed to 2.1.

jaeandersson · Feb 25, 2018

This is in place and appears to be working reasonably well.

jaeandersson · Apr 17, 2018

Solver has been renamed "qrqp".

jaeandersson referenced this issue May 10, 2013
Closed
Incorrect multipliers reported for equality constrained variables in Ipopt #667

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Closed
Add support for parametric sensitivities in the `NLPSolver` base class #372

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Issue #724: Dropped support for sIPOPT
Feature needs solver-independent reimplementation

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Issue #724 More work on ConicAs

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d142ec9

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Issue #724 ConicAs full-step calculation

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Issue #724 Nlpsol AD variable naming

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Issue #724 Refactored Nlpsol::get_forward for numerical stability

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Issue #724 Refactored Nlpsol::get_reverse for numerical stability

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aca680a

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Issue #724 Work on ConicAs

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Issue #724 Initial active set strategy for ConicAs

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Issue #724 ConicAs one step works

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Issue #724 ConicAs: Careful update of lam_xk, lam_ak

f14b575

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Issue #724 Fixed handling of inactive constraints

6e4426a

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Issue #724 Cleaned up ConicAs

69458f3

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Issue #724 Removed debug print

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Issue #724 Bugfixes, ConicAs

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Issue #724 Eliminating NaNs

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Issue #724 ConicAs bugfixes

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Issue #724 Another bugfix

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Issue #724 Yet another bugfix

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Issue #724 Termination criteria

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Issue #724 max_iter warning

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Issue #724 ConicAs fixed lam_x issue

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Issue #724 while loop instead of for loop

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Issue #724 Refactored ConicAs

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Issue #724 ConicAs: Handled weakly active constraints

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9d1cc69

jaeandersson referenced this issue Feb 21, 2018
Closed
Fix active-set logic in QRQP #2193

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Issue #724 ConicAs options

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Issue #724 Renamed ConicActiveSet -> QRQP

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9016bdd

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Issue #724 Fix 9016bdd

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Parametric sensitivity calculation in the Nlpsol base class #724

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jaeandersson commented May 10, 2013

jaeandersson referenced this issue May 10, 2013

Incorrect multipliers reported for equality constrained variables in Ipopt #667

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ghorn commented Oct 29, 2013

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jaeandersson modified the milestones: Version 2.1.0, Version 2.0.0 Jul 10, 2014

ghorn modified the milestones: Version 2.2.0, Version 2.1.0 Oct 7, 2014

jaeandersson modified the milestones: Version 2.2.0, Version 2.3.0 Jan 10, 2015

jaeandersson modified the milestones: Version 2.3.0, Version 2.4.0 Mar 17, 2015

jaeandersson modified the milestones: Version 2.5.0, Version 2.4.0 Jul 30, 2015

jaeandersson modified the milestones: Version 2.5.0, Version 3.0 Oct 31, 2015

jaeandersson referenced this issue Dec 25, 2015

Add support for parametric sensitivities in the `NLPSolver` base class #372

jaeandersson added a commit that referenced this issue Dec 25, 2015

jaeandersson modified the milestones: Version 3.0, Version 3.1 Jan 8, 2016

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Fix active-set logic in QRQP #2193

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