[Ipopt] improving IPOPT speed with Algorithmic Differentiation Theory

[Sebastian Nowozin]

Hello,

Sebastian Walter wrote:

 > [...]
> eval_f(x_15)
> eval_grad_f(x_15)
> 
> The Algorithmic Differentation theory tells us, that we get the function
> for free when we evaluate the gradient.
> All we need is some possibility to cache the redundant computations.
> Is there an easy way to do that in IPOPT?

This is also an issue with the Matlab interface, by the way.  It would 
be really nice to have an interface that allows one to jointly return 
gradient and objective information in order to avoid duplicate computations.

Sebastian