warm starting the penaltiy parameter mu

[bradbell]

At the end of on ipopt run (perhaps maximum number of iterations was reached) I can get most of the necessary warm starting information from the call to finalize_solution.

In addition, I can pass it back when I want to continue the optimization using get_starting_point.

One notable exception is the value of the penalty parameter mu. How do I get the value of mu at the end of a run and how do I pass it in to continue the optimization ?

[svigerske]

You should be able to get mu from the IpoptData object (https://coin-or.github.io/Ipopt/classIpopt_1_1IpoptData.html#ad83f966070811d55a0c5887df1a854bb).

There is option mu_init to set the initial mu if you use mu_strategy = monotone: https://coin-or.github.io/Ipopt/OPTIONS.html#OPT_mu_init

[bradbell]

@svigerske That works for me (see below). Thanks

----------------------
Run with max_iter = 10
----------------------
iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
   0  2.3133834e+00 0.00e+00 9.97e-01  -1.0 0.00e+00    -  0.00e+00 0.00e+00   0
   1  2.1065556e+00 0.00e+00 4.62e-01  -1.0 1.09e-01    -  5.19e-01 1.00e+00f  1
   2  3.2611388e-01 0.00e+00 3.51e-01  -1.0 3.24e+00    -  4.31e-01 1.00e+00f  1
   3  5.4773931e-02 0.00e+00 7.70e-02  -1.7 8.41e-01    -  7.51e-01 1.00e+00f  1
   4  2.9687726e-03 0.00e+00 5.55e-17  -1.7 3.23e-01    -  1.00e+00 1.00e+00f  1
   5  7.5102811e-05 0.00e+00 6.20e-17  -2.5 1.04e-01    -  1.00e+00 1.00e+00f  1
   6  8.8641790e-08 0.00e+00 2.09e-17  -3.8 1.81e-02    -  1.00e+00 1.00e+00f  1
   7  4.3597783e-12 0.00e+00 6.67e-17  -5.7 6.23e-04    -  1.00e+00 1.00e+00f  1
   8  6.6129764e-18 0.00e+00 5.37e-17  -8.6 3.87e-06    -  1.00e+00 1.00e+00f  1

--------------------------------------------------------------
Run with max_iter = 5 warm starting from end of iter # 5 above
--------------------------------------------------------------
iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
   0  7.5102811e-05 0.00e+00 2.38e-05  -2.5 0.00e+00    -  0.00e+00 0.00e+00   0
   1  8.8775174e-08 0.00e+00 1.73e-17  -3.8 1.81e-02    -  1.00e+00 1.00e+00f  1
   2  4.3602153e-12 0.00e+00 5.78e-17  -5.7 6.24e-04    -  1.00e+00 1.00e+00f  1
   3  6.6130279e-18 0.00e+00 5.79e-17  -8.6 3.87e-06    -  1.00e+00 1.00e+00f  1