Hi John ,
I was going through the code of IPOPT and found that their is still a lot
of scope in the improvement of the Interior point optimizer to enhance the
overall performance of the algorithm.
Interior point optimizer basically utilizes the concept of newton gradient
ascent to reach the optimal solution but this might result into
convergence to the local optima. Apart from this IPOPT require a function
to be twice differentiable for calculation of steps to reach the optimal
solution, presently it is utilizing the Jacobian function but it affect the
overall speed.
Recently I was going through the paper written by Raydon to enhance the
performance of gradient ascent by modifying it with Bazilai and Borwein(BB)
algorithm and following nonmonotone line search(during gradient ascent).
This method guarantee a convergence to the global optima and also improve
the speed drastically.
(http://epubs.siam.org/doi/abs/10.1137/S1052623494266365)
I would say that this algorithm deserve a try. If you allow I would like
to create a special function in IPOPT with modification in newton gradient
to test the accuracy and speed of the algorithm.
--
=====================================================
~"Go over, go under, go around, or go through. But Never give up "~
Regards,
*Kumar Shubham*
Pre final Year Student
B.Tech: ELECTRONICS AND COMMUNICATION
The LNM Institute of Information Technology, Jaipur, India
Alternate Email ID: [email protected]
WebSite : http://kumarshubham.wix.com/project
Linkedin: http://in.linkedin.com/pub/kumar-shubham/6b/283/105/en
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