QRQP: Stopping criteria

[Gerd]

Hello,

are the following stopping criteria the only ones supported in QRQP:

- min_step_size

- max_iter
- tol_du (Stopping criterion for dual infeasabilit)

- tol_pr (Stopping criterion for primal infeasibilit)

Are there no separate stopping criterias directly for the residuals (e.g. similar to OSQP https://osqp.org/docs/solver/index.html#convergence)?

[lu fr]

Dear Gerd,

just one question refering your post. How can I implement these stoppong criterias?

I tried to do it this way (in MATLAB): 

opti.solver('sqpmethod',struct('qpsol','qrqp','max_iter',5000));

but it's not working? When I make seperate structs it's not working either.

Best, Lukas

[Gerd]

I pass them to the solver the following way (MATLAB syntax):

        opt = struct;

        opt.min_step_size = 1e-9;
        opt.max_iter = 100;
        opt.tol_du = 1e-9;
        opt.tol_pr = 1e-9;

        opt.qpsol = 'qrqp';

        optimizer = nlpsol('optimizer','sqpmethod',nlp,opt);   % generating the solver

 

        sol = optimizer('x0',x,'ubg',0,'lbg',0,'p',para);   % calculating the solution

[lu fr]

Thanks for your fast reply! 

Unfortunately, this does not seem to work for me. I am also using the optistack however and with this code it does not take these properties into account:

opts = struct;

opts.max_iter = 100;

opts.qpsol = 'qrqp';

opti.solver('sqpmethod',opts);

sol = opti.solve();

Do you have any idea why?

[Joris Gillis]

Dear Lukas,

The code you gave should be affecting the number of sqp iterations.

opti = Opti();
x=opti.variable();
opti.minimize((x-1)^20);
opts = struct;
opts.max_iter = 10;

opts.qpsol = 'qrqp';
opti.solver('sqpmethod',opts);

sol = opti.solve_limited();

If you want to set options on the qpsolver, you need an extra layer:

opts.qpsol_options.max_iter= 100;

Best regards,

  Joris

[Joris Gillis]

Dear Gerd,

Indeed not, as per source: https://github.com/casadi/casadi/blob/master/casadi/solvers/qrqp.cpp#L59-L83

Perhaps you can convince Joel to add some?

Best regards,

  Joris