[Ipopt] Automatic Differentiation

[Andrew Spiteri]

Hi all,

I am currently using IPOPT through the MATLAB interface. Since I have 
rather complex functions, the Jacobians and Hessians are being 
calculated automatically using INTLAB's automatic differentiation 
feature. However, I am at times finding INTLAB difficult to use, since 
it does not support direct use of some built-in functions such as 
interp1 and atan2.

I've also tried out ADiMat, but couldn't get the source code 
transformation routine to work (due to search path problems). I also 
tried ADiMat's finite difference function, which worked but was 
extremely slow and thus I couldn't adopt it.

I would like to hear recommendations for other automatic differentiation 
tools/setups which you found useful. Thanks.

Best regards,
Andrew Spiteri