NAG CL Interface
e04stc (handle_​solve_​ipopt)

Note: this function uses optional parameters to define choices in the problem specification and in the details of the algorithm. If you wish to use default settings for all of the optional parameters, you need only read Sections 1 to 10 of this document. If, however, you wish to reset some or all of the settings please refer to Section 11 for a detailed description of the algorithm and to Section 12 for a detailed description of the specification of the optional parameters.
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1 Purpose

e04stc is a solver from the NAG optimization modelling suite for constrained large-scale Nonlinear Programming (NLP) problems. It is an interior point method optimization solver based on the IPOPT software package.

2 Specification

#include <nag.h>
void  e04stc (void *handle,
void (*objfun)(Integer nvar, const double x[], double *fx, Integer *inform, Nag_Comm *comm),
void (*objgrd)(Integer nvar, const double x[], Integer nnzfd, double fdx[], Integer *inform, Nag_Comm *comm),
void (*confun)(Integer nvar, const double x[], Integer ncnln, double gx[], Integer *inform, Nag_Comm *comm),
void (*congrd)(Integer nvar, const double x[], Integer nnzgd, double gdx[], Integer *inform, Nag_Comm *comm),
void (*hess)(Integer nvar, const double x[], Integer ncnln, Integer idf, double sigma, const double lambda[], Integer nnzh, double hx[], Integer *inform, Nag_Comm *comm),
void (*monit)(Integer nvar, const double x[], Integer nnzu, const double u[], Integer *inform, const double rinfo[], const double stats[], Nag_Comm *comm),
Integer nvar, double x[], Integer nnzu, double u[], double rinfo[], double stats[], Nag_Comm *comm, NagError *fail)
The function may be called by the names: e04stc or nag_opt_handle_solve_ipopt.

3 Description

e04stc is typically used to solve the following nonlinear programming problem
minimize xn f(x) subject to lgg(x)ug, 12 xTQix + riTx + si0 ,   1imQ, lBBxuB, lxxux,  
where
The objective f(x) can be specified in a number of ways: e04rec for a dense linear function, e04rfc (and e04rsc or e04rtc) for a sparse linear or quadratic function, e04rtc is used to provide the quadratic function in factorized form, and e04rgc for a general nonlinear function. In the last case, objfun and objgrd will be used to compute values and gradients of the objective function. Variable box bounds lx,ux can be specified with e04rhc. The special case of linear constraints lB,B,uB is handled by e04rjc, quadratic constraints are handled by e04rsc and e04rtc while general nonlinear constraints lg,g(x),ug are specified by e04rkc (all can be specified). Again, in the last case, confun and congrd will be used to compute values and gradients of the nonlinear constraint functions.
Finally, if it is viable to calculate second derivatives, the sparsity structure of the second partial derivatives of a general nonlinear objective and/or of any general nonlinear constraints is specified by e04rlc and the values of these derivatives themselves will be computed by user-supplied hess. While there is an option (see Hessian Mode) that forces internal approximation of second derivatives, no such option exists for first derivatives which must be computed accurately. If e04rlc has been called and hess is used to calculate values for second derivatives, both the nonlinear objective and all the nonlinear constraints must be included; it is not possible to provide a subset of these. If the problem has only linear or quadratic objective and constraints, then hess is never called since the required Hessian information is already provided by the calls to e04rec, e04rfc, e04rjc, e04rsc and e04rtc. If e04rlc is not called, then internal approximation of second derivatives will take place.
See Section 4.1 in the E04 Chapter Introduction for more details about the NAG optimization modelling suite.

3.1 Structure of the Lagrange Multipliers

For a problem consisting of n variable bounds, mB linear constraints, mQ quadratic constraints, and mg nonlinear constraints, the number of Lagrange multipliers, and consequently the correct value for nnzu, will be q=2*n+2*mB +2*mQ +2*mg. The order these will be found in the u array is
z1L, z1U, z2L, z2U znL, znU, λ1L, λ1U, λ2L, λ2U λmBL, λmBU, λ(mB+1)L, λ(mB+1)U, λ(mB+2)L, λ(mB+2)U λ(mB+mQ)L, λ(mB+mQ)U, λ(mB+mQ+1)L, λ(mB+mQ+1)U, λ(mB+mQ+2)L, λ(mB+mQ+2)U λ(mB+mQ+mg)L, λ(mB+mQ+mg)U.
where the L and U subscripts refer to lower and upper bounds, respectively, and the variable bound constraint multipliers come first (if present, i.e., if e04rhc was called), followed by the linear constraint multipliers (if present, i.e., if e04rjc was called), followed by the quadratic constraint multipliers (if present, i.e., if e04rsc or e04rtc were called), and the nonlinear constraint multipliers (if present, i.e., if e04rkc was called).
Significantly nonzero values for any of these, after the solver has terminated, indicates that the corresponding constraint is active. Significance is judged in the first instance by the relative scale of any value compared to the smallest among them.

4 References

Byrd R H, Gilbert J Ch and Nocedal J (2000) A trust region method based on interior point techniques for nonlinear programming Mathematical Programming 89 149–185
Byrd R H, Liu G and Nocedal J (1997) On the local behavior of an interior point method for nonlinear programming Numerical Analysis (eds D F Griffiths and D J Higham) Addison–Wesley
Conn A R, Gould N I M, Orban D and Toint Ph L (2000) A primal-dual trust-region algorithm for non-convex nonlinear programming Mathematical Programming 87 (2) 215–249
Conn A R, Gould N I M and Toint Ph L (2000) Trust Region Methods SIAM, Philadephia
Fiacco A V and McCormick G P (1990) Nonlinear Programming: Sequential Unconstrained Minimization Techniques SIAM, Philadelphia
Gould N I M, Orban D, Sartenaer A and Toint Ph L (2001) Superlinear convergence of primal-dual interior point algorithms for nonlinear programming SIAM Journal on Optimization 11 (4) 974–1002
Hock W and Schittkowski K (1981) Test Examples for Nonlinear Programming Codes. Lecture Notes in Economics and Mathematical Systems 187 Springer–Verlag
Hogg J D and Scott J A (2011) HSL MA97: a bit-compatible multifrontal code for sparse symmetric systems RAL Technical Report. RAL-TR-2011-024
Wächter A and Biegler L T (2006) On the implementation of a primal-dual interior point filter line search algorithm for large-scale nonlinear programming Mathematical Programming 106(1) 25–57
Williams P and Lang B (2013) A framework for the MR3 Algorithm: theory and implementation SIAM J. Sci. Comput. 35 740–766
Yamashita H (1998) A globally convergent primal-dual interior-point method for constrained optimization Optimization Methods and Software 10 443–469

5 Arguments

1: handle void * Input
On entry: the handle to the problem. It needs to be initialized (e.g., by e04rac) and to hold a problem formulation compatible with e04stc. It must not be changed between calls to the NAG optimization modelling suite.
2: objfun function, supplied by the user External Function
objfun must calculate the value of the nonlinear objective function f(x) at a specified value of the n-element vector of x variables. If there is no nonlinear objective (e.g., e04rec, e04rfc, e04rsc or e04rtc was called to define a linear or quadratic objective function), objfun will never be called by e04stc and may be NULLFN.
The specification of objfun is:
void  objfun (Integer nvar, const double x[], double *fx, Integer *inform, Nag_Comm *comm)
1: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
2: x[nvar] const double Input
On entry: the vector x of variable values at which the objective function is to be evaluated.
3: fx double * Output
On exit: the value of the objective function at x.
4: inform Integer * Input/Output
On entry: a non-negative value.
On exit: must be set to a value describing the action to be taken by the solver on return from objfun. Specifically, if the value is negative, then the value of fx will be discarded and the solver will either attempt to find a different trial point or terminate immediately with fail.code= NE_USER_NAN; otherwise, the solver will proceed normally.
5: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to objfun.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling e04stc you may allocate memory and initialize these pointers with various quantities for use by objfun when called from e04stc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: objfun should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by e04stc. If your code inadvertently does return any NaNs or infinities, e04stc is likely to produce unexpected results.
3: objgrd function, supplied by the user External Function
objgrd must calculate the values of the nonlinear objective function gradients f x at a specified value of the n-element vector of x variables. If there is no nonlinear objective (e.g., e04rec, e04rfc, e04rsc or e04rtc was called to define a linear or quadratic objective function), objgrd will never be called by e04stc and may be NULLFN.
The specification of objgrd is:
void  objgrd (Integer nvar, const double x[], Integer nnzfd, double fdx[], Integer *inform, Nag_Comm *comm)
1: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
2: x[nvar] const double Input
On entry: the vector x of variable values at which the objective function gradient is to be evaluated.
3: nnzfd Integer Input
On entry: the number of nonzero elements in the sparse gradient vector of the objective function, as was set in a previous call to e04rgc.
4: fdx[dim] double Input/Output
On entry: the elements should only be assigned and not referenced.
On exit: the values of the nonzero elements in the sparse gradient vector of the objective function, in the order specified by idxfd in a previous call to e04rgc. fdx[i-1] will be the gradient f xidxfd[i-1].
5: inform Integer * Input/Output
On entry: a non-negative value.
On exit: must be set to a value describing the action to be taken by the solver on return from objgrd. Specifically, if the value is negative then the value of fdx will be discarded and the solver will either attempt to find a different trial point or will terminate immediately with fail.code= NE_USER_NAN; otherwise, computations will continue.
6: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to objgrd.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling e04stc you may allocate memory and initialize these pointers with various quantities for use by objgrd when called from e04stc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: objgrd should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by e04stc. If your code inadvertently does return any NaNs or infinities, e04stc is likely to produce unexpected results.
4: confun function, supplied by the user External Function
confun must calculate the values of the mg-element vector g i(x) of nonlinear constraint functions at a specified value of the n-element vector of x variables. If there are no nonlinear constraints then confun will never be called by e04stc and may be specified as NULLFN.
The specification of confun is:
void  confun (Integer nvar, const double x[], Integer ncnln, double gx[], Integer *inform, Nag_Comm *comm)
1: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
2: x[nvar] const double Input
On entry: the vector x of variable values at which the constraint functions are to be evaluated.
3: ncnln Integer Input
On entry: mg, the number of nonlinear constraints, as specified in an earlier call to e04rkc.
4: gx[dim] double Output
On exit: the mg values of the nonlinear constraint functions at x.
5: inform Integer * Input/Output
On entry: a non-negative value.
On exit: must be set to a value describing the action to be taken by the solver on return from confun. Specifically, if the value is negative, then the value of gx will be discarded and the solver will either attempt to find a different trial point or terminate immediately with fail.code= NE_USER_NAN; otherwise, the solver will proceed normally.
6: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to confun.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling e04stc you may allocate memory and initialize these pointers with various quantities for use by confun when called from e04stc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: confun should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by e04stc. If your code inadvertently does return any NaNs or infinities, e04stc is likely to produce unexpected results.
5: congrd function, supplied by the user External Function
congrd must calculate the nonzero values of the sparse Jacobian of the nonlinear constraint functions gi x at a specified value of the n-element vector of x variables. If there are no nonlinear constraints, congrd will never be called by e04stc and may be specified as NULLFN.
The specification of congrd is:
void  congrd (Integer nvar, const double x[], Integer nnzgd, double gdx[], Integer *inform, Nag_Comm *comm)
1: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
2: x[nvar] const double Input
On entry: the vector x of variable values at which the Jacobian of the constraint functions is to be evaluated.
3: nnzgd Integer Input
On entry: is the number of nonzero elements in the sparse Jacobian of the constraint functions, as was set in a previous call to e04rkc.
4: gdx[dim] double Input/Output
On entry: the elements should only be assigned and not referenced.
On exit: the nonzero values of the Jacobian of the nonlinear constraints, in the order specified by irowgd and icolgd in an earlier call to e04rkc. gdx[i-1] will be the gradient girowgd[i-1] xicolgd[i-1] .
5: inform Integer * Input/Output
On entry: a non-negative value.
On exit: must be set to a value describing the action to be taken by the solver on return from congrd. Specifically, if the value is negative the solution of the current problem will terminate immediately with fail.code= NE_USER_NAN; otherwise, computations will continue.
6: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to congrd.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling e04stc you may allocate memory and initialize these pointers with various quantities for use by congrd when called from e04stc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: congrd should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by e04stc. If your code inadvertently does return any NaNs or infinities, e04stc is likely to produce unexpected results.
6: hess function, supplied by the user External Function
hess must calculate the nonzero values of one of a set of second derivative quantities:
  • the Hessian of the Lagrangian function σ 2f(x)+i=1mg λi2 gi(x),
  • the Hessian of the objective function 2f(x),
  • the Hessian of the ith constraint function 2gi (x).
The value of argument idf determines which one of these is to be computed and this, in turn, is determined by earlier calls to e04rlc, when the nonzero sparsity structure of these Hessians was registered. Please note that it is not possible to only supply a subset of the Hessians (see fail.code= NE_DERIV_ERRORS or NE_NULL_ARGUMENT). If there were no calls to e04rlc, hess will never be called by e04stc In this case, the Hessian of the Lagrangian will be approximated by a limited-memory quasi-Newton method (L-BFGS).
The specification of hess is:
void  hess (Integer nvar, const double x[], Integer ncnln, Integer idf, double sigma, const double lambda[], Integer nnzh, double hx[], Integer *inform, Nag_Comm *comm)
1: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
2: x[nvar] const double Input
On entry: the vector x of variable values at which the Hessian functions are to be evaluated.
3: ncnln Integer Input
On entry: mg, the number of nonlinear constraints, as specified in an earlier call to e04rkc.
4: idf Integer Input
On entry: specifies the quantities to be computed in hx.
idf=-1
The values of the Hessian of the Lagrangian will be computed in hx. This will be the case if e04rlc has been called with idf of the same value.
idf=0
The values of the Hessian of the objective function will be computed in hx. This will be the case if e04rlc has been called with idf of the same value.
idf>0
The values of the Hessian of the idfth constraint function will be computed in hx. This will be the case if e04rlc has been called with idf of the same value.
5: sigma double Input
On entry: if idf=-1, the value of the σ quantity in the definition of the Hessian of the Lagrangian. Otherwise, sigma should not be referenced.
6: lambda[dim] const double Input
On entry: if idf=-1, the values of the λi quantities in the definition of the Hessian of the Lagrangian. Otherwise, lambda should not be referenced.
7: nnzh Integer Input
On entry: the number of nonzero elements in the Hessian to be computed.
8: hx[dim] double Output
On exit: the nonzero values of the requested Hessian evaluated at x. For each value of idf, the ordering of nonzeros must follow the sparsity structure registered in the handle by earlier calls to e04rlc through the arguments irowh and icolh.
9: inform Integer * Input/Output
On entry: a non-negative value.
On exit: must be set to a value describing the action to be taken by the solver on return from hess. Specifically, if the value is negative the solution of the current problem will terminate immediately with fail.code= NE_USER_NAN; otherwise, computations will continue.
10: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to hess.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling e04stc you may allocate memory and initialize these pointers with various quantities for use by hess when called from e04stc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: hess should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by e04stc. If your code inadvertently does return any NaNs or infinities, e04stc is likely to produce unexpected results.
7: monit function, supplied by the user External Function
monit is provided to enable you to monitor the progress of the optimization.
monit may be specified as NULLFN.
The specification of monit is:
void  monit (Integer nvar, const double x[], Integer nnzu, const double u[], Integer *inform, const double rinfo[], const double stats[], Nag_Comm *comm)
1: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
2: x[nvar] const double Input
On entry: xi, the values of the decision variables x at the current iteration.
3: nnzu Integer Input
On entry: the dimension of array u.
4: u[nnzu] const double Input
On entry: if nnzu>0, u holds the values of Lagrange multipliers (dual variables) for the constraints at the current iteration. See Section 3.1 for layout information.
5: inform Integer * Input/Output
On entry: a non-negative value.
On exit: must be set to a value describing the action to be taken by the solver on return from monit. Specifically, if the value is negative the solution of the current problem will terminate immediately with fail.code= NE_USER_STOP; otherwise, computations will continue.
6: rinfo[32] const double Input
On entry: error measures and various indicators at the end of the current iteration as described in Section 9.1.
7: stats[32] const double Input
On entry: solver statistics at the end of the current iteration. It reports only the iteration count and the number of backtracking trial steps taken. See Section 9.1.
8: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to monit.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling e04stc you may allocate memory and initialize these pointers with various quantities for use by monit when called from e04stc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: monit should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by e04stc. If your code inadvertently does return any NaNs or infinities, e04stc is likely to produce unexpected results.
8: nvar Integer Input
On entry: n, the current number of decision variables x in the model.
9: x[nvar] double Input/Output
On entry: x0, the initial estimates of the variables x.
On exit: the final values of the variables x.
10: nnzu Integer Input
On entry: the number of Lagrange multipliers that are to be returned in array u.
If nnzu=0, u will not be referenced; otherwise, it needs to match the dimension q as explained in Section 3.1.
Constraints:
  • nnzu0;
  • if nnzu>0, nnzu=q.
11: u[nnzu] double Output
Note: if nnzu>0, u holds Lagrange multipliers (dual variables) for the constraints. See Section 3.1 for layout information. If nnzu=0, u will not be referenced and may be NULL.
On exit: the final value of Lagrange multipliers (z,λ).
12: rinfo[32] double Output
On exit: error measures and various indicators at the end of the final iteration as given in the list below:
0 Objective function value f(x).
1 Constraint violation (primal infeasibility), see (7).
2 Dual infeasibility, see (6).
3 Complementarity.
4 Karush–Kuhn–Tucker error.
5 Regularization term for the Hessian of the Lagrangian. This value is only available in monit, see Iteration log in Section 9.1.
6 Step size for the dual variables. This value is only available in monit, see Iteration log in Section 9.1.
7 Step size for the primal variables. This value is only available in monit, see Iteration log in Section 9.1.
831 Reserved for future use.
13: stats[32] double Output
On exit: solver statistics at the end of the final iteration as given in the list below:
0 Number of the iterations.
1 Reserved for future use.
2 Number of backtracking trial steps.
3 Number of Hessian evaluations.
4 Number of objective gradient evaluations.
5, 6 Reserved for future use.
7 Total wall clock time elapsed.
817 Reserved for future use.
18 Number of objective function evaluations.
19 Number of constraint function evaluations.
20 Number of constraint Jacobian evaluations.
2131 Reserved for future use.
14: comm Nag_Comm *
The NAG communication argument (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
15: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_DERIV_ERRORS
Either all of the constraint and objective Hessian structures must be defined or none (in which case, the Hessians will be approximated by a limited-memory quasi-Newton L-BFGS method).
On entry, a nonlinear objective function has been defined but no objective Hessian sparsity structure has been defined through e04rlc.
On entry, a nonlinear constraint function has been defined but no constraint Hessian sparsity structure has been defined through e04rlc, for constraint number value.
NE_HANDLE
The supplied handle does not define a valid handle to the data structure for the NAG optimization modelling suite. It has not been initialized by e04rac or it has been corrupted.
NE_INT
On entry, nnzu=value.
Constraint: nnzu=value or 0.
On entry, nnzu=value.
Constraint: no constraints present, so nnzu must be 0.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
NE_MAYBE_INFEASIBLE
The solver detected an infeasible problem. The restoration phase converged to a point that is a minimizer for the constraint violation (in the 1-norm), but is not feasible for the original problem. This indicates that the problem may be infeasible (or at least that the algorithm is stuck at a locally infeasible point). The returned point (the minimizer of the constraint violation) might help you to find which constraint is causing the problem. If you believe that the NLP is feasible, it might help to start the optimization from a different point.
NE_MAYBE_UNBOUNDED
The solver terminated due to diverging iterates. The max-norm of the iterates has become larger than a preset value. This can happen if the problem is unbounded below and the iterates are diverging.
NE_NO_IMPROVEMENT
The solver terminated after the search direction became too small. This indicates that the solver is calculating very small step sizes and is making very little progress. This could happen if the problem has been solved to the best numerical accuracy possible given the current NLP scaling.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
NE_NOT_IMPLEMENTED
e04stc is not available in this implementation.
NE_NULL_ARGUMENT
The problem requires the confun values. Please provide a proper confun function.
The problem requires the congrd derivatives. Please provide a proper congrd function.
The problem requires the hess derivatives. Either change the optional parameter Hessian Mode or provide a proper hess function.
The problem requires the objfun values. Please provide a proper objfun function.
The problem requires the objgrd derivatives. Please provide a proper objgrd function.
NE_PHASE
The problem is already being solved.
NE_REF_MATCH
On entry, nvar=value, expected value=value.
Constraint: nvar must match the current number of variables of the model in the handle.
NE_SETUP_ERROR
This solver does not support the model defined in the handle.
NE_SUBPROBLEM
The solver terminated after an error in the step computation. This message is printed if the solver is unable to compute a search direction, despite several attempts to modify the iteration matrix. Usually, the value of the regularization parameter then becomes too large. One situation where this can happen is when values in the Hessian are invalid (NaN or Infinity). You can check whether this is true by using the Verify Derivatives option.
The solver terminated after failure in the restoration phase. This indicates that the restoration phase failed to find a feasible point that was acceptable to the filter line search for the original problem. This could happen if the problem is highly degenerate, does not satisfy the constraint qualification, or if your NLP code provides incorrect derivative information.
The solver terminated after the maximum time allowed was exceeded. Maximum number of seconds exceeded. Use optional parameter Time Limit to reset the limit.
The solver terminated due to an invalid option. Please contact NAG with details of the call to e04stc.
The solver terminated due to an invalid problem definition. Please contact NAG with details of the call to e04stc.
The solver terminated with not enough degrees of freedom. This indicates that your problem, as specified, has too few degrees of freedom. This can happen if you have too many equality constraints, or if you fix too many variables.
NE_TOO_MANY_ITER
Maximum number of iterations exceeded.
NE_USER_NAN
Invalid number detected in user function. Either inform was set to a negative value within the user-supplied functions objfun, objgrd, confun, congrd or hess, or an Infinity or NaN was detected in values returned from them.
NE_USER_STOP
User requested termination during a monitoring step. inform was set to a negative value in monit.
NW_NOT_CONVERGED
The solver reports NLP solved to acceptable level. This indicates that the algorithm did not converge to the desired tolerances, but that it was able to obtain a point satisfying the acceptable tolerance level. This may happen if the desired tolerances are too small for the current problem.

7 Accuracy

The accuracy of the solution is driven by optional parameter Stop Tolerance 1.
If fail.code= NE_NOERROR on the final exit, the returned point satisfies Karush–Kuhn–Tucker (KKT) conditions to the requested accuracy (under the default settings close to ε where ε is the machine precision) and thus it is a good estimate of a local solution. If fail.code= NW_NOT_CONVERGED, some of the convergence conditions were not fully satisfied but the point still seems to be a reasonable estimate and should be usable. Please refer to Section 11.1 and the description of the particular options.

8 Parallelism and Performance

e04stc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
e04stc makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

9.1 Description of the Printed Output

The solver can print information to give an overview of the problem and of the progress of the computation. The output may be sent to two independent streams (files) which are set by optional parameters Print File and Monitoring File. Optional parameters Print Level and Monitoring Level determine the exposed level of detail. This allows, for example, the generation of a detailed log in a file while the condensed information is displayed on the screen. This section also describes what kind of information is made available to the monitoring function monit via rinfo and stats.
There are four sections printed to the primary output with the default settings (level 2): a derivative check, a header, an iteration log and a summary. At higher levels more information will be printed, including any internal IPOPT options that have been changed from their default values.
Header
If Print Level1, the header will contain option settings and statistics about the size of the problem how the solver sees it, i.e., it reflects any changes imposed by preprocessing and problem transformations. The header may look similar to:
Banner and optional parameters list
 ------------------------------------------------------------------------------
  E04ST, Interior point method for large-scale nonlinear optimization problems
 ------------------------------------------------------------------------------
 
 Begin of Options
     Print File                    =                   6     * d
     Print Level                   =                   2     * U
     Monitoring File               =                  67     * U
     Monitoring Level              =                   2     * U
 
     Infinite Bound Size           =         1.00000E+20     * d
     Task                          =            Minimize     * d
     Stats Time                    =                  No     * d
     Time Limit                    =         1.00000E+01     * U
     Verify Derivatives            =                  No     * d
 
     Hessian Mode                  =                Auto     * d
     Matrix Ordering               =                Auto     * d
     Outer Iteration Limit         =                  26     * U
     Stop Tolerance 1              =         2.50000E-08     * U
 End of Options
Summary of the problem
Number of nonzeros in equality constraint Jacobian...:        4
Number of nonzeros in inequality constraint Jacobian.:        8
Number of nonzeros in Lagrangian Hessian.............:       10

Total number of variables............................:        4
                     variables with only lower bounds:        4
                variables with lower and upper bounds:        0
                     variables with only upper bounds:        0
Total number of equality constraints.................:        1
Total number of inequality constraints...............:        2
        inequality constraints with only lower bounds:        2
   inequality constraints with lower and upper bounds:        0
        inequality constraints with only upper bounds:        0
Derivative Check
If Verify Derivatives is set, then information will appear about any errors detected in the user-supplied derivative functions objgrd, congrd or hess. It may look like this:
Starting derivative checker for first derivatives.

* grad_f[          1] = -2.000000e+00    ~  2.455000e+01  [ 1.081e+00]
* jac_g [    1,    4] =  4.700969e+01 v  ~  5.200968e+01  [ 9.614e-02]
Starting derivative checker for second derivatives.

*             obj_hess[    1,    1] =  1.881000e+03 v  ~  1.882000e+03  [ 5.314e-04]
*     1-th constr_hess[    1,    3] =  2.988964e+00 v  ~ -1.103543e-02  [ 3.000e+00]

Derivative checker detected 3 error(s).
The first line indicates that the value for the partial derivative of the objective with respect to the first variable as returned by objgrd (the first one printed) differs sufficiently from a finite difference estimation derived from objfun (the second one printed). The number in square brackets is the relative difference between these two numbers.
The second line reports on a discrepancy for the partial derivative of the first constraint with respect to the fourth variable. If the indicator v is absent, the discrepancy refers to a component that had not been included in the sparsity structure, in which case the nonzero structure of the derivatives should be corrected. Mistakes in the first derivatives should be corrected before attempting to correct mistakes in the second derivatives.
The third line reports on a discrepancy in a second derivative of the objective function, differentiated with respect to the first variable, twice.
The fourth line reports on a discrepancy in a second derivative of the first constraint, differentiated with respect to the first and third variables.
Iteration log
If Print Level=2, the status of each iteration is condensed to one line. The line shows:
iter The current iteration count. This includes regular iterations and iterations during the restoration phase. If the algorithm is in the restoration phase, the letter r will be appended to the iteration number. The iteration number 0 represents the starting point. This quantity is also available as stats[0] of monit.
objective The unscaled objective value at the current point (given the current NLP scaling). During the restoration phase, this value remains the unscaled objective value for the original problem. This quantity is also available as rinfo[0] of monit.
inf_pr The unscaled constraint violation at the current point (given the current NLP scaling). This quantity is the infinity-norm (max) of the (unscaled) constraints gi. During the restoration phase, this value remains the constraint violation of the original problem at the current point. This quantity is also available as rinfo[1] of monit.
inf_du The scaled dual infeasibility at the current point (given the current NLP scaling). This quantity measure the infinity-norm (max) of the internal dual infeasibility, λi of Eq. (4a) in the implementation paper Wächter and Biegler (2006), including inequality constraints reformulated using slack variables and NLP scaling. During the restoration phase, this is the value of the dual infeasibility for the restoration phase problem. This quantity is also available as rinfo[2] of monit.
lg(mu) log10 of the value of the barrier parameter μ. μ itself is also available as rinfo[3] of monit.
||d|| The infinity norm (max) of the primal step (for the original variables x and the internal slack variables s). During the restoration phase, this value includes the values of additional variables, p- and n- (see Eq. (30) in Wächter and Biegler (2006)). This quantity is also available as rinfo[4] of monit.
lg(rg) log10 of the value of the regularization term for the Hessian of the Lagrangian in the augmented system (δw of Eq. (26) and Section 3.1 in Wächter and Biegler (2006)). A dash (–) indicates that no regularization was done. The regularization term itself is also available as rinfo[5] of monit.
alpha_du The step size for the dual variables (αkz of Eq. (14c) in Wächter and Biegler (2006)). This quantity is also available as rinfo[6] of monit.
alpha_pr The step size for the primal variables (αk of Eq. (14a) in Wächter and Biegler (2006)). This quantity is also available as rinfo[7] of monit. The number is usually followed by a character for additional diagnostic information regarding the step acceptance criterion.
f f-type iteration in the filter method without second-order correction
F f-type iteration in the filter method with second-order correction
h h-type iteration in the filter method without second-order correction
H h-type iteration in the filter method with second-order correction
k penalty value unchanged in merit function method without second-order correction
K penalty value unchanged in merit function method with second-order correction
n penalty value updated in merit function method without second-order correction
N penalty value updated in merit function method with second-order correction
R Restoration phase just started
w in watchdog procedure
s step accepted in soft restoration phase
t/T tiny step accepted without line search
r some previous iterate restored
ls The number of backtracking line search steps (does not include second-order correction steps). This quantity is also available as stats[2] of monit.
Note that the step acceptance mechanisms in IPOPT consider the barrier objective function (4) which is usually different from the value reported in the objective column. Similarly, for the purposes of the step acceptance, the constraint violation is measured for the internal problem formulation, which includes slack variables for inequality constraints and potentially NLP scaling of the constraint functions. This value, too, is usually different from the value reported in inf_pr. As a consequence, a new iterate might have worse values both for the objective function and the constraint violation as reported in the iteration output, seemingly contradicting globalization procedure.
Note that all these values are also available in rinfo[0],,rinfo[7], stats[0], and stats[2] of the monitoring function monit.
The output might look as follows:
iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
   0  2.6603500e+05 1.55e+02 3.21e+01  -1.0 0.00e+00    -  0.00e+00 0.00e+00   0
   1  1.5053889e+05 7.95e+01 1.43e+01  -1.0 1.16e+00    -  4.55e-01 1.00e+00f  1
   2  8.9745785e+04 3.91e+01 6.45e+00  -1.0 3.07e+01    -  5.78e-03 1.00e+00f  1
   3  3.9878595e+04 1.63e+01 3.47e+00  -1.0 5.19e+00   0.0 2.43e-01 1.00e+00f  1
   4  2.7780042e+04 1.08e+01 1.64e+00  -1.0 3.66e+01    -  7.24e-01 8.39e-01f  1
   5  2.6194274e+04 1.01e+01 1.49e+00  -1.0 1.07e+01    -  1.00e+00 1.05e-01f  1
   6  1.5422960e+04 4.75e+00 6.82e-01  -1.0 1.74e+01    -  1.00e+00 1.00e+00f  1
   7  1.1975453e+04 3.14e+00 7.26e-01  -1.0 2.83e+01    -  1.00e+00 5.06e-01f  1
   8  8.3508421e+03 1.34e+00 2.04e-01  -1.0 3.96e+01    -  9.27e-01 1.00e+00f  1
   9  7.0657495e+03 4.85e-01 9.22e-02  -1.0 5.32e+01    -  1.00e+00 1.00e+00f  1
iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
  10  6.8359393e+03 1.17e-01 1.28e-01  -1.7 4.69e+01    -  8.21e-01 1.00e+00h  1
  11  6.6508917e+03 1.52e-02 1.52e-02  -2.5 1.87e+01    -  1.00e+00 1.00e+00h  1
  12  6.4123213e+03 8.77e-03 1.49e-01  -3.8 1.85e+01    -  7.49e-01 1.00e+00f  1
  13  6.3157361e+03 4.33e-03 1.90e-03  -3.8 2.07e+01    -  1.00e+00 1.00e+00f  1
  14  6.2989280e+03 1.12e-03 4.06e-04  -3.8 1.54e+01    -  1.00e+00 1.00e+00h  1
  15  6.2996264e+03 9.90e-05 2.05e-04  -5.7 5.35e+00    -  9.63e-01 1.00e+00h  1
  16  6.2998436e+03 0.00e+00 1.86e-07  -5.7 4.55e-01    -  1.00e+00 1.00e+00h  1
  17  6.2998424e+03 0.00e+00 6.18e-12  -8.2 2.62e-03    -  1.00e+00 1.00e+00h  1
If Print Level>2, each iteration produces significantly more detailed output comprising detailed error measures and output from internal operations. The output is reasonably self-explanatory so it is not featured here in detail.
Summary
Once the solver finishes, a detailed summary is produced if Print Level1. An example is shown below:
Number of Iterations....: 6

                                   (scaled)                 (unscaled)
Objective...............:   7.8692659500479623e-01    6.2324586324379867e+00
Dual infeasibility......:   7.9744615766675617e-10    6.3157735687207093e-09
Constraint violation....:   8.3555384833289281e-12    8.3555384833289281e-12
Complementarity.........:   0.0000000000000000e+00    0.0000000000000000e+00
Overall NLP error.......:   7.9744615766675617e-10    6.3157735687207093e-09


Number of objective function evaluations             = 7
Number of objective gradient evaluations             = 7
Number of equality constraint evaluations            = 7
Number of inequality constraint evaluations          = 0
Number of equality constraint Jacobian evaluations   = 7
Number of inequality constraint Jacobian evaluations = 0
Number of Lagrangian Hessian evaluations             = 6
Total CPU secs in IPOPT (w/o function evaluations)   =      0.724
Total CPU secs in NLP function evaluations           =      0.343

EXIT: Optimal Solution Found.
It starts with the total number of iterations the algorithm went through. Then, five quantities are printed, all evaluated at the termination point: the value of the objective function, the dual infeasibility, the constraint violation, the complementarity and the NLP error.
This is followed by some statistics on the number of calls to user-supplied functions and CPU time taken in user-supplied functions and the main algorithm. Lastly, status at exit is indicated by a short message. Detailed timings of the algorithm are displayed only if Stats Time is set.

9.2 Internal Changes

Internal changes have been made to this function as follows:
For details of all known issues which have been reported for the NAG Library please refer to the Known Issues.

9.3 Additional Licensor

Parts of the code for e04stc are distributed according to terms imposed by another licensor. Please refer to Library Licensors for further details.

10 Example

This example is based on Problem 73 in Hock and Schittkowski (1981) and involves the minimization of the linear function
f(x)= 24.55x1+ 26.75x2+ 39.00x3+ 40.50x4  
subject to the bounds
0x1, 0x2, 0x3, 0x4,  
to the nonlinear constraint
12x1+ 11.9x2+ 41.8x3+ 52.1x4-21- 1.645 0.28x12+ 0.19x22+ 20.5x32+ 0.62x42 0  
and the linear constraints
2.3x1+ 5.6x2+ 11.1x3+ 1.3x45 , x1+ x2+ x3+ x4-1=0.  
The initial point, which is infeasible, is
x0 = ( 1, 1, 1, 1 ) T  
and f(x0)=130.8. The optimal solution (to five significant figures) is
x*=(0.63552,0.0,0.31270,0.051777)T,  

10.1 Program Text

Program Text (e04stce.c)

10.2 Program Results

Program Results (e04stce.r)

11 Algorithmic Details

e04stc is an implementation of IPOPT (see Wächter and Biegler (2006)) that is fully supported and maintained by NAG. It uses Harwell packages MA97 for the underlying sparse linear algebra factorization and MC68 approximate minimum degree or METIS algorithm for the ordering. Any issues relating to e04stc should be directed to NAG who assume all responsibility for the e04stc function and its implementation.
In the remainder of this section, we repeat part of Section 2.1 of Wächter and Biegler (2006).
To simplify notation, we describe the method for the problem formulation
minimize xn f(x) (1)
subject to g(x)=0 (2)
x0 . (3)
Range constraints of the form lc(x)u can be expressed in this formulation by introducing slack variables xs0, xt0 (increasing n by 2) and defining new equality constraints g(x,xs)c(x)-l-xs=0 and g(x,xt)u-c(x)-xt=0.
e04stc, like the methods discussed in Williams and Lang (2013), Byrd et al. (2000), Conn et al. (2000) and Fiacco and McCormick (1990), computes (approximate) solutions for a sequence of barrier problems
minimize xn φμ(x) f(x) - μ i=1 n ln(x(i)) (4)
subject to g(x)=0 (5)
for a decreasing sequence of barrier parameters μ converging to zero.
The algorithm may be interpreted as a homotopy method to the primal-dual equations,
f(x) + g(x)λ - z = 0 (6)
g(x)=0 (7)
XZe - μe = 0 (8)
with the homotopy parameter μ, which is driven to zero (see e.g., Byrd et al. (1997) and Gould et al. (2001)). Here, Xdiag(x) for a vector x (similarly zdiag(z), etc.), and e stands for the vector of all ones for appropriate dimension, while λm and zn correspond to the Lagrange multipliers for the equality constraints (2) and the bound constraints (3), respectively.
Note, that the equations (6), (7) and (8) for μ=0 together with ‘x, z0’ are the Karush–Kuhn–Tucker (KKT) conditions for the original problem (1), (2) and (3). Those are the first-order optimality conditions for (1), (2) and (3) if constraint qualifications are satisfied (Conn et al. (2000)).
Starting from an initial point supplied in x, e04stc computes an approximate solution to the barrier problem (4) and (5) for a fixed value of μ (by default, 0.1), then decreases the barrier parameter, and continues the solution of the next barrier problem from the approximate solution of the previous one.
A sophisticated overall termination criterion for the algorithm is used to overcome potential difficulties when the Lagrange multipliers become large. This can happen, for example, when the gradients of the active constraints are nearly linear dependent. The termination criterion is described in detail by Wächter and Biegler (2006) (also see below Section 11.1).

11.1 Stopping Criteria

Using the individual parts of the primal-dual equations (6), (7) and (8), we define the optimality error for the barrier problem as
Eμ (x,λ,z) max{ f(x)+g(x)λ-z s d ,g(x), XZe-μe s c } (9)
with scaling parameters sd, sc1 defined below (not to be confused with NLP scaling factors described in Section 11.2). By E0(x,λ,z) we denote (9) with μ=0; this measures the optimality error for the original problem (1), (2) and (3). The overall algorithm terminates if an approximate solution (x~*,λ~*,z~*) (including multiplier estimates) satisfying
E0 (x~*,λ~*,z~*) εtol (10)
is found, where εtol>0 is the user-supplied error tolerance in optional parameter Stop Tolerance 1.
Even if the original problem is well scaled, the multipliers λ and z might become very large, for example, when the gradients of the active constraints are (nearly) linearly dependent at a solution of (1), (2) and (3). In this case, the algorithm might encounter numerical difficulties satisfying the unscaled primal-dual equations (6), (7) and (8) to a tight tolerance. In order to adapt the termination criteria to handle such circumstances, we choose the scaling factors
sd max{smax, λ1+z1 (m+n) } / smax    sc max{ s max , z1 n } / smax  
in (9). In this way, a component of the optimality error is scaled, whenever the average value of the multipliers becomes larger than a fixed number smax1 (smax=100 in our implementation). Also note, in the case that the multipliers diverge, E0(x,λ,z) can only become small, if a Fritz John point for (1), (2) and (3) is approached, or if the primal variables diverge as well.

11.2 Scaling the NLP

Ideally, the formulated problem should be scaled so that, near the solution, all function gradients (objective and constraints), when nonzero, are of a similar order of a magnitude. e04stc will compute automatic NLP scaling factors for the objective and constraint functions (but not the decision variables) and apply them if large imbalances of scale are detected. This rescaling is only computed at the starting point. References to scaled or unscaled objective or constraints in Section 9.1 and Section 11 should be understood in this context.

12 Optional Parameters

Several optional parameters in e04stc define choices in the problem specification or the algorithm logic. In order to reduce the number of formal arguments of e04stc these optional parameters have associated default values that are appropriate for most problems. Therefore, you need only specify those optional parameters whose values are to be different from their default values.
The remainder of this section can be skipped if you wish to use the default values for all optional parameters.
The optional parameters can be changed by calling e04zmc anytime between the initialization of the handle and the call to the solver. Modification of the optional parameters during intermediate monitoring stops is not allowed. Once the solver finishes, the optional parameters can be altered again for the next solve.
If any options are set by the solver (typically those with the choice of AUTO), their value can be retrieved by e04znc. If the solver is called again, any such arguments are reset to their default values and the decision is made again.
The following is a list of the optional parameters available. A full description of each optional parameter is provided in Section 12.1.

12.1 Description of the Optional Parameters

For each option, we give a summary line, a description of the optional parameter and details of constraints.
The summary line contains:
All options accept the value DEFAULT to return single options to their default states.
Keywords and character values are case and white space insensitive.
Defaults
This special keyword may be used to reset all optional parameters to their default values. Any value given with this keyword will be ignored.
Hessian ModeaDefault =AUTO
This parameter specifies whether the Hessian will be user-supplied (in hx) or approximated by e04stc using a limited-memory quasi-Newton L-BFGS method. In the AUTO setting, if no Hessian structure has been registered in the problem with a call to e04rlc and there are general nonlinear objective or constraints, then the Hessian will be approximated. Otherwise hess will be called if and only if any of e04rgc or e04rkc have been used to define the problem. Approximating the Hessian is likely to require more iterations to achieve convergence but will reduce the time spent in user-supplied functions.
Constraint: Hessian Mode=AUTO, EXACT or APPROXIMATE.
Infinite Bound SizerDefault =1020
This defines the ‘infinite’ bound bigbnd in the definition of the problem constraints. Any upper bound greater than or equal to bigbnd will be regarded as + (and similarly any lower bound less than or equal to -bigbnd will be regarded as -). Note that a modification of this optional parameter does not influence constraints which have already been defined; only the constraints formulated after the change will be affected.
It also serves as a limit for the objective function to be considered unbounded (fail.code= NE_MAYBE_UNBOUNDED).
Constraint: Infinite Bound Size1000.
Monitoring FileiDefault =-1
(See Section 3.1.1 in the Introduction to the NAG Library CL Interface for further information on NAG data types.)
If i0, the Nag_FileID number (as returned from x04acc) for the secondary (monitoring) output. If set to -1, no secondary output is provided. The information output to this unit is controlled by Monitoring Level.
Constraint: Monitoring File-1.
Monitoring LeveliDefault =4
This parameter sets the amount of information detail that will be printed by the solver to the secondary output. The meaning of the levels is the same as with Print Level.
Constraint: 0Monitoring Level5.
Matrix OrderingaDefault =AUTO
This parameter specifies the ordering to be used by the internal sparse linear algebra solver. It affects the number of nonzeros in the factorized matrix and thus influences the cost per iteration.
Matrix Ordering=AUTO
A heuristic is used to choose automatically between METIS and AMD orderings.
Matrix Ordering=BEST
Both AMD and METIS orderings are computed at the beginning of the solve and the one with the fewest nonzeros in the factorized matrix is selected.
Matrix Ordering=AMD
An approximate minimum degree (AMD) ordering is used.
Matrix Ordering=METIS
METIS ordering is used.
Constraint: Matrix Ordering=AUTO, BEST, AMD or METIS.
Outer Iteration LimitiDefault =100
The maximum number of iterations to be performed by e04stc. Setting the option too low might lead to fail.code= NE_TOO_MANY_ITER.
Constraint: Outer Iteration Limit0.
Print FileiDefault =Nag_FileID number associated with stdout
(See Section 3.1.1 in the Introduction to the NAG Library CL Interface for further information on NAG data types.)
If i0, the Nag_FileID number (as returned from x04acc, stdout as the default) for the primary output of the solver. If Print File=-1, the primary output is completely turned off independently of other settings. The information output to this unit is controlled by Print Level.
Constraint: Print File-1.
Print LeveliDefault =2
This parameter defines how detailed information should be printed by the solver to the primary output.
i Output
0 No output from the solver
1 Additionally, derivative check information, the Header and Summary.
2 Additionally, the Iteration log.
3, 4 Additionally, details of each iteration with scalar quantities printed.
5 Additionally, individual components of arrays are printed resulting in large output.
Constraint: 0Print Level5.
Print OptionsaDefault =YES
If Print Options=YES, a listing of optional parameters will be printed to the primary output.
Constraint: Print Options=YES or NO.
Print SolutionaDefault =NO
If Print Solution=X, the final values of the primal variables are printed on the primary and secondary outputs.
If Print Solution=YES or ALL, in addition to the primal variables, the final values of the dual variables are printed on the primary and secondary outputs.
Constraint: Print Solution=YES, NO, X or ALL.
Stats TimeaDefault =NO
This parameter allows you to turn on timings of various parts of the algorithm to give a better overview of where most of the time is spent. This might be helpful for a choice of different solving approaches.
Constraint: Stats Time=YES or NO.
Stop Tolerance 1rDefault =max(10-6,ε)
This option sets the value εtol of (10) which is used for optimality and complementarity tests from KKT conditions. See Section 11.1.
Constraint: Stop Tolerance 1>ε.
TaskaDefault =MINIMIZE
This parameter specifies the required direction of the optimization. If Task=FEASIBLE POINT, the objective function (if set) is ignored and the algorithm stops as soon as a feasible point is found with respect to the given tolerance. If no objective function is set, Task reverts to FEASIBLE POINT automatically.
Constraint: Task=MINIMIZE, MAXIMIZE or FEASIBLE POINT.
Time LimitrDefault =106
A limit to the number of seconds that the solver can use to solve one problem. If during the convergence check this limit is exceeded, the solver will terminate with a corresponding error message.
Constraint: Time Limit>0.
Verify DerivativesaDefault =NO
This parameter specifies whether the function should perform numerical checks on the consistency of the user-supplied functions. It is recommended that such checks are enabled when first developing the formulation of the problem, however, the derivative check results in a significant increase of the number of the function evaluations and thus it shouldn't be used in production code.
Constraint: Verify Derivatives=YES or NO.