[ADOL-C] Evaluating Hessian of Lagrangian

Andrea Walther awalther at math.uni-paderborn.de
Wed Apr 10 16:51:22 EDT 2013


sorry for entering the discussion so late but I was on travel
the last days and most of the time offline.

If you can exploit the minor size of the reduced Hessian
the approach proposed by Norm is certainly the best way to go
since it requires the least number of Hessian vector product
which determines the cost of the derivative calculation.

However, I am not sure whether Ipopt can really exploit this.
Regarding the other approaches discussed so far:

We made the experience that it really depends on the application

* tracing the Lagrangian once with x and lambda as inputs
   and evaluating only a part of the Hessian reusing the trace
   in all iterations


*  retracing the Lagrangian with x as adoubles and lambda as doubles
    in each iteration and computing then the whole Hessian

performs better in terms of runtime. You could give both approaches
a try and see what works better for you. Both approaches have their
pros and cons with respect to efficiency.

Best regards


Prof. Dr. Andrea Walther
Lehrstuhl fuer Mathematik und ihre Anwendungen
Institut fuer Mathematik
Universitaet Paderborn
Warburger Str. 100
33098 Paderborn

Email: andrea.walther at uni-paderborn.de
Phone: ++49 5251 602721
        ++49 5251 602724 (sekr.)
Fax:   ++49 5251 603728


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