ARKI Consulting & Development A/S
Model definition with the CONOPT
Subroutine Library
The user of the CONOPT Subroutine Library
must define the model via a set of subroutines. The following short description
is intended to give you an impression of the complexity of building models for
the CONOPT Subroutine Library. You should compare this with the work involved
in developing and debugging a model via a modeling system.
At model setup time, the model defining
subroutines asks for detailed information about the model. This information
includes:
During the optimization, CONOPT asks for
numerical values of the nonlinear functions and their derivatives by calling
some user supplied routines. The modeler must code both the nonlinear
expressions and their derivatives; there is no option for numerical
derivatives. The nonlinear functions must be smooth to a high accuracy and
their derivatives must be consistent with the function values to a high
accuracy. If these requirements are not satisfied CONOPT may converge slowly or
it may not converge at all. Models in which the nonlinear functions are based
on solving sets of nonlinear equations or partial differential equations must
therefore solve these sub-models to a very high accuracy. Models with
interpolations between table lookups must combine these inherently non-smooth
functions with some kind of smoothing such as splines.
Derivatives computed from numerical differences are often not accurate enough,
especially if there is some noise in the function values.
Optional user supplied subroutine allow the
modeler to specify 2nd derivatives, either as the sparse Hessian of
the Lagrangian (the matrix H), and/or as the
directional 2nd derivative (the matrix-vector product H*v). CONOPT
is only efficient on large models with many degrees of freedom if at least one
of these optional routines is supplied by the modeler.
Other optional subroutines allow the modeler
to control tolerances and algorithmic features, to display tailored progress
information and tailored solution reports, and to stop based on user
interrupts.
You should not attempt to use the CONOPT
Subroutine Library unless you have some familiarity with sparse matrices, in
particular packing formats for sparse matrices. You should also have smooth
functions and you should be able to derive the analytic form for the necessary
derivatives. For larger models you should be able to derive and code the 2nd
derivatives.