GAMS — The Solver Manuals - Available Software

COIN-OR 81
• the implementation paper A. Wächter and L. T. Biegler, On the Implementation of a Primal-Dual Interior
Point Filter Line Search Algorithm for Large-Scale Nonlinear Programming, Mathematical Programming
106(1), pp. 25-57, 2006.
Most of the Ipopt documentation in the section was taken from the Ipopt manual available on the Ipopt web site.
5.1 Model requirements
Ipopt can handle nonlinear programming models which functions can be nonconvex, but should be twice continuously
differentiable. GAMS/CoinIpopt now supports user-defined scalings of variables and equations using the
.scale suffix and scaleopt option (see chapter 17.2 of the GAMS User’s Guide).
5.2 Usage of CoinIpopt
The following statement can be used inside your GAMS program to specify using CoinIpopt
Option NLP = CoinIpopt; { or LP, RMIP, DNLP, RMINLP, QCP, RMIQCP }
The above statement should appear before the Solve statement. If CoinIpopt was specified as the default solver
during GAMS installation, the above statement is not necessary.
5.3 The linear solver in Ipopt
The performance and robustness of Ipopt on larger models heavily relies on the used solver for sparse symmetric
indefinite linear systems. GAMS/CoinIpopt includes the multifrontal massively parallel sparse direct solver
MUMPS (http://graal.ens-lyon.fr/MUMPS). The user can provide the Parallel Sparse Direct Solver PARDISO
or routines from the Harwell Subroutine Library (HSL) as shared (or dynamic) libraries to replace MUMPS.
Using Harwell Subroutine Library routines with GAMS/CoinIpopt
If you have routines from the HSL available and want Gams/CoinIpopt to use them, you can provide them
in a shared library. GAMS/CoinIpopt can use MA27, MA28, MA57, and MC19. By telling Ipopt to use
one of these routines (see options linear solver, linear system scaling, nlp scaling method, dependency detector)
GAMS/CoinIpopt attempts to load the required routines from the library libhsl.so (Unix-Systems), libhsl.dylib
(MacOS X), or libhsl.dll (Windows). You can also specify the path and name for this library with the option
hsl library.
For example,
linear_solver ma27
hsl_library /my/path/to/the/hsllib/myhsllib.so
tells Ipopt to use the linear solver MA27 from the HSL library myhsllib.so under the specified path.
The HSL routines MA27, MA28, and MC19 are available at http://www.cse.clrc.ac.uk/nag/hsl. Note that
it is your responsibility to ensure that you are entitled to download and use these routines! You can build a
shared library using the ThirdParty/HSL project at COIN-OR.
Using PARDISO routines with GAMS/CoinIpopt
If you have the linear solver PARDISO available, then you can tell Gams/CoinIpopt to use by setting the
linear solver option to pardiso. GAMS/CoinIpopt then attempts to load the library libpardiso.so (Unix-Systems),
libpardiso.dylib (MacOS X), or libpardiso.dll (Windows). You can also specify the path and name for this library
with the option pardiso library.
For example,