[Ipopt] Can i use IPOPT without the input of Jacobian Matrix and the Hessian of the Lagrangian?

[Brad Bell]

Uwe Nowak wrote:
> Also I am not member of the IPOPT-Team:
>
> You do not need the Hessian if you use quasi-newtown approximation of 
> second derivatives (LBFGS). Set the option
> hessian_approximation=limited-memory
>
> However you need the Jacobian.
> If you have a set of constraints and are not sure which constraints are 
> used, you could define the Jacobian structure as being all possible 
> entries of any element.
>
> If you do not have the Jacobian functions you either have to do finite 
> difference approximation (which might lead to slow evaluation and 
> convergence problems) or automatic differentiation tool (I have heard 
> about ADOL-C but never used it).
>
> Best Regards,
> Uwe
>   
You could use CppAD to compute the derivatives. There is and example 
with documentation for how you could do this at
http://www.coin-or.org/CppAD/Doc/ipopt_cppad_nlp.xml

While this routine may seem complicated, this is because it allows you 
to convey a lot of information to the routine that is evaluating the 
derivatives. I suggest that you begin with the "simple representation", see
http://www.coin-or.org/CppAD/Doc/ipopt_get_started.cpp.xml

>
> Am 16.12.2009 10:54, schrieb Lewis I:
>   
>> Hello Ipopt-Team,
>>
>> I am a MPhil. Student at the Simon Fraser University. I am working on a research which requires the nonlinear optimization.
>>
>> I would like to use Ipopt. I have tried the pre-complied binaries for Windows (C++) and read the examples.
>> And I found that Ipopt require the input of Jacobian Matrix and the Hessian of the Lagrangian before the calculaion of the optimization.
>> Because one of the requirement of my program is to allow it can be more interactive.
>> I can not predefine the Jacobian Matrix and the Hessian of the Lagrangian for all constraints, because the constraints will be changed at different situations.
>> Do there exist any method to compute these matrix from the set of provided constraint functions automatically?
>>
>> Thank you very much for your help.
>>
>> Best regards
>> Lewis
>>
>>
>>
>>
>>
>>
>>
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>>     
>
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