Warm Start with dual variables

[GTRay]

Hi, I am using Ipopt to solve a NLP problem, and would like to use the solution from previous cycle to warm start the next cycle. I did some research and it looks like I just need to do app->Options()->SetStringValue("warm_start_init_point","yes");. However, the boolean input init_z and init_lambda to MyNLP::get_starting_point() are still both false, so I don't think the dual variables from previous run are fed into the solver. There are some previous discussion I found in https://list.coin-or.org/pipermail/ipopt/2016-May/004221.html, but still not sure if I set up the warm start correctly. So what is the right way to warm start the solver? Can I have some help? Thanks.

[svigerske]

Setting warm_start_init_point to yes should be sufficient.
If I add an ipopt.opt with warm_start_init_point yes and run the hs071_cpp example, I get

lt-hs071_cpp: hs071_nlp.cpp:120: virtual bool HS071_NLP::get_starting_point(Ipopt::Index, bool, Ipopt::Number*, bool, Ipopt::Number*, Ipopt::Number*, Ipopt::Index, bool, Ipopt::Number*): Assertion `init_z == false' failed.

So init_z seems to be true.

Please check your code again.

[GTRay]

Setting warm_start_init_point to yes should be sufficient. If I add an ipopt.opt with warm_start_init_point yes and run the hs071_cpp example, I get

lt-hs071_cpp: hs071_nlp.cpp:120: virtual bool HS071_NLP::get_starting_point(Ipopt::Index, bool, Ipopt::Number*, bool, Ipopt::Number*, Ipopt::Number*, Ipopt::Index, bool, Ipopt::Number*): Assertion `init_z == false' failed.

So init_z seems to be true.

Please check your code again.

Thanks for the reply. Stefan. I have tried the example you mentioned on stable/3.14. There are a few interesting things:

1. assert doesn't seem to have any effect
2. get_starting_point() seems to get called twice. First time with

init_x true
init_z false
init_lambda false

then second time with

init_x true
init_z true
init_lambda true

I guess it kind of makes sense, because warm start would need the previous solution to boot up, so the first run has init_z and init_lambda being false. So what is the expected behavior when setting warm_start_init_point yes? Is there a way to skip the first run when init_z and init_lambda are false?

[svigerske]

Asserts only show up when Ipopt is build with debugging enabled (which isn't default).

OK, now I remember: The first call is when Ipopt computes the problem scaling. For this, it needs to evaluate all functions, which it does at the starting point.
The second call is then to determine the actual starting point for the solve.

The only way to skip the first call is to disable scaling or provide scaling parameters by yourself.
Best would be to just not provide starting values for z and lambda when they are not requested.

[GTRay]

Asserts only show up when Ipopt is build with debugging enabled (which isn't default).

OK, now I remember: The first call is when Ipopt computes the problem scaling. For this, it needs to evaluate all functions, which it does at the starting point. The second call is then to determine the actual starting point for the solve.

The only way to skip the first call is to disable scaling or provide scaling parameters by yourself. Best would be to just not provide starting values for z and lambda when they are not requested.

Ah, gotcha, that makes a lot of sense. Really appreciate it. Stefan.