[Ipopt] solving non-smooth large scale problem using ipopt

[key01023 at gmail.com]

Dear all,
I have a large class of non smooth convex optimization problems with about 8000 dimensions and I am looking for c++ solvers to solve that. I tried level method  (extremely slow due to built up of sub-gradients), optimal gradient method due to Nesterov (very slow convergence), limited memory bundle method (LMBM) (no compilable solver available, failed to compile LMBM). I want to ask whether ipopt can be applied to solve this problem, because it uses limited memory BFGS which i guess somewhat resembles the LMBM methods. If so, is there some c++ file examples showing a case where we don’t need to provide the Hessian. Thank you.

With regards,
Chivalry
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