[Ipopt] Exact hessian with significantly slower convergence than limited memory

Roberto Verdelli rverdelli at hotmail.com
Thu Feb 6 07:03:21 EST 2014

I'm solving this problem with about 200 variables.
If I use the limited-memory hessian approximation I can get a solution after about 1 minute of computation.If I provide IpOpt the exact hessian the convergence slows down a lot and I get a solution after 15 minutes or more.
The starting point is infeasible and very far from the solution. The solution is something about 0.6, both runs start with objective = 300 but when I use the limited memory approximation I can see the  objective decreasing quickly to 1 and then converging to 0.6 at 'normal' speed. Whenever I provide the exact hessian I get a different behaviour: the objective starts at 300 and decreases at what seems a constant rate until the solution is reached.
The exact hessian is calculated correctly: I fill only the lower triangle and the derivative checker doesn't show any error.
I expected faster convergence with the exact hessian, why this behaviour?

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