Re: [ojAlgo-user] v25.1

[Oddvar G. <od...@pr...>]

Yes, this makes sense.

The last few days I have been checking my system for poor condition setup, but have not found any structural issues. 
My system is sort of a sequential QP, the equality constraints are nonlinear, so I linearize and iterate till I find the solution. 

I guess some of my sub-systems are badly scaled (in lack of a better term), and should be fixed before calling the QP-solver.

Do you have any hints/links that can put me on the right track to pre-solve the system myself?
Or do you have any plans for developing a pre-solver?

Thanks for your help!

- Oddvar

-----Original Message-----
From: Anders Peterson [mailto:an...@op...] 
Sent: 23. november 2008 21:10
To: Anders Peterson
Subject: Re: [ojAlgo-user] v25.1

On 21 nov 2008, at 12.40, Anders Peterson wrote:

> On 21 nov 2008, at 10.07, Oddvar Grønning wrote:
>
>> I have a dynamic optimization problem to solve that mostly is  
>> overdetermined, so the optimization problem has a set of solutions  
>> instead of one global solution. I guess this is the reason of the  
>> numerical difficulties of my systems.
>
> Yes, I think the problem is that you have several (near) redundant  
> constraints.

Don't think so anymore...

I've long felt that the QP solvers needed a pre-solver that analysed  
and fixed the model/problem for better numerical performance. I think  
that the Matlab solver has one, and that's the difference. By  
experimenting a bit I managed to improve the quality of the solution  
to your latest model/problem:

{{0.0},
{0.0175},
{-0.0175},
{1.4639},
{5.0},
{4.8768},
{4.4581},
{-6.7724},
{0.2257}}

This solution is VERY close to the what you got from Matlab!

Until ojAlgo actually has such a pre-solver you have to think about  
how you construct your matrices.

/Anders
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