[Ipopt] Hessians of objective and constraints have different sparse structures

R zu rzu512 at gmail.com
Sat Dec 1 16:07:46 EST 2018


I can divide the hessian to 2 x 2 blocks:

D, A
B, C

The Hessian of the objective has non-zero elements only in the D and C
blocks. The D block is diagonal.

The Hessian of each constraint is all zero except for one element in the A
or B blocks.

The sum of the Hessian of all constraints has non-zero elements over many
places in blocks A and B.

Ipopt seems to require me to provide the sum of all Hessians, which is
quite dense. Is it possible to provide the Hessian of the objective and the
weighted sum of the Hessian of the constraints separately?

doc: https://www.coin-or.org/Ipopt/documentation/node22.html#eq:IpoptLAG

Thanks again.
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