[ADOL-C] Evaluating Hessian of Lagrangian

[Kshitij Kulshreshtha]

Hello,

the sequence of rows or columns in the hessian is exactly the same as of
the execution of the <<= operators that define independents between
trace_on() and trace_off(). So as long as the <<= operator was executed
for all x variables before all lagrange multipliers, the H_{xl}
components should have column indices larger than dim(x).

Sincerely
Kshitij Kulshrestha.

As on 2013-05-02 15:28h, Ingrid Hallen did write:
> Hi,
> 
> I finally got time to start implementing the alternative method for
> computing the Hessian of
> the Lagrangian to do some benchmarking. However, I have come across the
> following difficulty:
> 
> Using also the Lagrange multipliers as variables yields an Hessian of
> the Lagrangian in the
> form of a block matrix:
> 
> H = / H_{xx}         H_{xl} \
>        \ H_{xl}                0    /
> 
> Here H_{xx} is the Hessian wrt to the original variables x\inR^n that we
> are interested in. After calling
> sparse_hess(tag,n,repeat,x,&nnz,&rind,&cind,&values,&options) I thought
> that it should be
> straightforward to identify the parts of rind, cind and values
> pertaining to H_{xx}. For instance,
> say we want to count the non-zeros in the first row of H_{xx}, nnz_xx,
> using the following code:
> 
> int k = 0
> int nnz_xx = 0
> while rind[k]==0
>     if cind[k]<n
>           nnz_xx++;
>     end
>     k++;
> end
> 
> This of course only works provided the non-zeros of H_{xl} are found in
> the columns>n, but that
> appears not to be the case.
> 
> Am I missing something really simple here, or how can I extract H_{xx}?.
> 
> Kind regards
> Ingrid
> 
> 
> 
> 
> ------------------------------------------------------------------------
> From: ingridhallen at hotmail.com
> To: awalther at math.uni-paderborn.de
> Date: Thu, 11 Apr 2013 09:26:23 +0200
> CC: adol-c at list.coin-or.org
> Subject: Re: [ADOL-C] Evaluating Hessian of Lagrangian
> 
> 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
>>
>> **********
>>
>>
>>
> 
> _______________________________________________ ADOL-C mailing list
> ADOL-C at list.coin-or.org http://list.coin-or.org/mailman/listinfo/adol-c
> 
> 
> _______________________________________________
> ADOL-C mailing list
> ADOL-C at list.coin-or.org
> http://list.coin-or.org/mailman/listinfo/adol-c
> 

-- 
Dr. Kshitij Kulshreshtha

Institut für Mathematik,
Universität Paderborn,
Warburger Straße 100,
33098 Paderborn.

Büro: A3.235

Privatanschrift:
Arnikaweg 62
33100 Paderborn.