[Ipopt] Automatic Differentiation

[Anil Rao]

One possibility is ADiGator which is a MATLAB automatic (algorithmic) differentiation package.  ADiGator generates derivative source code given an actual MATLAB function code (that is, the function must be an m-file and cannot be a p-file, a mex file, or a Simulink model).  ADiGator takes full advantage of all sparsity in the derivative and even outputs the sparsity pattern in the derivative code.  Also, if you provide a vectorized function, ADiGator will differentiate your function in a vectorized manner as well.  The ADiGator project is found on SourceForge at 

http://sourceforge.net/projects/adigator.   

Regards,

Anil

Sent from my iPhone.  Please excuse any typos.

Anil V. Rao, PhD
Gainesville, FL 32607
Tel: 352-672-1529 (cell)
Email:  anilvrao at gmail.com
Website:  http://www.anilvrao.com

> On Feb 28, 2017, at 4:43 PM, Brad Bell <bradbell at seanet.com> wrote:
> 
> If you are willing to use C++ to define the function, perhaps you would find the following useful:
>    https://urldefense.proofpoint.com/v2/url?u=https-3A__www.coin-2Dor.org_CppAD_Doc_ipopt-5Fsolve.htm&d=DwICAg&c=Ngd-ta5yRYsqeUsEDgxhcqsYYY1Xs5ogLxWPA_2Wlc4&r=CkSHWhOubghUqoasgZAuFQadckJg2c-JLO9y8qbAgUc&m=ew_Ps7PMa7XMMCA_PgsT815JcuP5l0eUVStL0JbKeKk&s=MbPur1y-UBT17U4MS3szKwbrg7oY561pjtedgHcAF2w&e=
>> On 02/28/2017 03:16 AM, Andrew Spiteri wrote:
>> 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
>> 
> 
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