[ADOL-C] Evaluating Hessian of Lagrangian

[Ingrid Hallen]

Thanks for your reply!

I think I will do some benchmarking then, to see which
of the two approaches works best for my problem.

The approach suggested by Norm is certainly interesting,
but I think I have to little experience with optimization
to implement it successfully. At least for the moment.

Sincerely,

Ingrid


> Date: Wed, 10 Apr 2013 22:51:22 +0200
> From: awalther at math.uni-paderborn.de
> To: ingridhallen at hotmail.com
> CC: normvcr at telus.net; adol-c at list.coin-or.org
> Subject: Re: [ADOL-C] Evaluating Hessian of Lagrangian
> 
> Hi
> 
> 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
> whether
> 
> * tracing the Lagrangian once with x and lambda as inputs
>    and evaluating only a part of the Hessian reusing the trace
>    in all iterations
> 
> or
> 
> *  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
> 
> Andrea
> 
> -- 
> 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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