Monday, June 16, 2008

Second derivative timings w. GAMS/CONOPT

The AIMMS system (a competitor of GAMS and AMPL) has according to their website much faster second derivative evaluation than GAMS: "The AIMMS implementation of the Hessian computation is extremely efficient, with reported speed ups of upto a factor 10 compared to the GAMS implementation." (From http://www.aimms.com/aimms/product/modeling_language.html). In GAMS/CONOPT the timings are reported in the listing file:
 CONOPT time Total                            0.037 seconds
of which: Function evaluations 0.000 = 0.0%
1st Derivative evaluations 0.000 = 0.0%
2nd Derivative evaluations 0.000 = 0.0%
Directional 2nd Derivative 0.000 = 0.0%


My models tend to show a relatively small percentage of time spent in the 2nd derivatives (not sure if you can conclude from this I am a good modeler). But if you have a model that shows poor timings here, I am sure the GAMS people would like to know about this, so send the model to support@gams.com. Furthermore, in such a case you may want to check if AIMMS does better on your model.