topic Re: TR with Boundry Constraints in Intel® oneAPI Math Kernel Library

TR with Boundry Constraints

David_Gross — Wed, 02 Dec 2009 19:28:25 GMT

I was having trouble with the RCI TR Routines with boundry constraints in C andstarted working with the example given and was able to reproduce my problem with that. It appears that for certain objective functions, it ignores my upper constraint.

To illustrate, if I change n = 2 and m = 2 in the example "ex_nlsqp_bc.c"and set the objective function equal to:

// broken
f[0] = x[0] - x[1];
f[1] = x[0] - 5;

// Working
f[0] = x[1] - x[0];
f[1] = x[1] - 5;

with constraints:

/* set the initial guess */
x[0] = -10.0;
x[1] = -10.0;

/* set bounds */
LW[0] = -20.0;
LW[1] = -20.0;

UP[0] = -3.0;
UP[1] = -4.0;

the result will be 5 and 5 for the "broken" one and -4 and -4 for the "working" one. I don't understand why these would produce different results and further don't understand why it ignores my bounds. Am I using it incorrectly?

Michael

Re: TR with Boundry Constraints

Nikita_S_Intel — Thu, 03 Dec 2009 07:47:39 GMT

Hi Michael,

We know about this issue. In general, the TR solvers are solvers for nonlinear optimization problems, but your objective function is linear. In some casesth theTR solvers may work incorrectly for problems with linear objective functions with boundary constraints. We've fixed this issue so TR solvers work correctly for such types of problems. This fix will be available in next update of MKL 10.2.

Thank you!

--Nikita

Re: TR with Boundry Constraints

Artem_V_Intel — Sat, 19 Dec 2009 13:37:59 GMT

Hi Michael,

Problem you reported has been fixed in MKL 10.2 Update 3. It is available now at the Intel Registration Center.

Thanks,
Art

Re: TR with Boundry Constraints

dbacchus — Sat, 19 Dec 2009 23:03:39 GMT

Quoting - Artem Vorobiev (Intel)

Hi Michael,

Problem you reported has been fixed in MKL 10.2 Update 3. It is available now at the Intel Registration Center.

Thanks,
Art

Update 3 is available?

UPDATE: It is available! Why no sticky? Anyways - thanks, will be checking now...

Re: TR with Boundry Constraints

barragan_villanueva_ — Tue, 22 Dec 2009 12:17:56 GMT

Quoting - dbacchus

Update 3 is available?

UPDATE: It is available! Why no sticky? Anyways - thanks, will be checking now...

Yes! Now you can find it there.