TODO (help wanted)

[anriseth]

Here's a list of things that I believe we should focus on next. If anyone is interested in helping out here that would be very much appreciated.

Interface

• Enable value! et al. for the constraints in NLSolversBase top priority
• Add a quasi-Newton algorithm
• Update MathProgBase interface
• Add a Newton-Krylov scheme

Interior / IPNewton

• Support sparse Hessian and sparse constraint Jacobian top priority
• Figure out how to enable the autodiff-tests in constraints.jl again
• Move "show_linesearch` to Optim.options
• Rethink how to deal with allow_f_increases for constrained problems (it should "always" be allowed)
• There are lots of functions from Tim's PR that are not used anywhere. Figure out what to delete.

Linesearch

• Figure out how Tim inteded to use backtrack_constrained (only backtrack_constrained_grad works at the moment)
• Move line searches to LineSearches.jl (after we change the interface in LineSearches)

Testing

• Add more constrained optimization tests to OptimTestProblems
• Update OptimTests to work with ConstrainedOptim (We need sparse Hessian + Jacobian support before going all in on CUTEst problems)
• Compare against Ipopt

[cortner]

instead of quasi-newton how about a Newton-Krylov scheme? Should be easier to build into the current code.

[pkofod]

instead of quasi-newton how about a Newton-Krylov scheme? Should be easier to build into the current code.

That would be interesting as well, sure.

[anriseth]

instead of quasi-newton how about a Newton-Krylov scheme? Should be easier to build into the current code.

To clarify, do you mean supporting "Hessian-free" (Hessian-vector) type Newton-Krylov, or to support, for example, IterativeSolvers.jl? I have only dealt with Newton-Krylov in the context of nonlinear equations, where it can also mean that you use some iterative solver for the problem (Jacobian*dx = Residual), regardless of whether the Jacobian is assembled or not.

[cortner]

In A NK scheme you can replace the hxv with finite differences- that is the advantage for me

[anriseth]

I've added Newton-Krylov to the list :)

[gragusa]

I will start updating the MathProgBase interface.

[anriseth]

I will start updating the MathProgBase interface.

Thanks for doing that, @gragusa :) Note that we have added the IPNewton code from this repository to Optim now, so I think you should be able to update the interface with using Optim instead of ConstrainedOptim. Ref JuliaNLSolvers/Optim.jl#608 JuliaNLSolvers/Optim.jl#609

I also see that the JuliaOpt group have started implementing the solver interfaces with MathOptInterface now, as they are planning to move away from MathProgBase (Refs jump-dev/Ipopt.jl#108 jump-dev/Ipopt.jl#116).
I don't know whether it is more complicated to interface to MOI and therefore less time consuming to do this for MPB, but it seems like MOI is the future.

[JMmontilla]

Could a SQP method be implemented as well? I use it in the NLOpt suite and is the one that works best for me in general. I would like to help and try to implement it myself, but I have a lot to learn of Julia before. Aside from that this package is great :), will probably use it.

[pkofod]

Yes, SQP methods are certainly on the table. Notice that his functionality is now in Optim.jl :)