[Ipopt] Hessian, gradient, and objective function have common terms

R zu rzu512 at gmail.com
Tue Nov 27 16:39:38 EST 2018

Sorry, I typed that in haste (~ 1 minute). I was doing derivative over
products. Product rule means terms repeated.

I wish Ipopt allow me to provide a function that provides the hessian,
objective, and gradient in the same function.
That means I only need to calculate the common term for once, and plug it
into formula of all three (hessian...).

However, currently I need to provide a function for each of the hessian,
objective, and gradient.
Within each of the 3 functions, I need to calculate the common term for

That means the common term is probably calculated for 3 times. I worry that
compiler optimization might not be that good and floating point operations
are not exactly commutative.

On Tue, Nov 27, 2018 at 2:15 PM R zu <rzu512 at gmail.com> wrote:

> The difficulty is in programming. But here is an example.
> Example objective function f:
> f(vector x) = g(vector x)h(vector x)
> where:
>                N    N
> g(vector x) = Sum  sum c_n c_m x_n
>               n=1  m=1
>               N
> h(vetor x) = Sum c_n c_m x_n
>              n=1
> Gradient calculated by product rule:
> f ' (x) = g ' (x) h(x) + g(x) + h' (x)
> The function g(x) and h(x) are common between f and f '.
> On Tue, Nov 27, 2018 at 1:59 PM Chintan Pathak <cp84 at uw.edu> wrote:
>> Dear R Zu,
>> Might be helpful if you give a small example demonstrating your usecase.
>> For example, are the common terms dependent on 'x', etc.
>> Thanks
>> https://about.me/chintanpathak
>> On Tue, Nov 27, 2018 at 9:55 AM R zu <rzu512 at gmail.com> wrote:
>>> Hi.
>>> - The hessian, gradient, and objective function have some common terms.
>>> - The common terms depends on the variables of the objective function.
>>> I calculate each common terms for three times because I need the term
>>> for Hessian, gradient, and objective function.
>>> Is it possible to only calculate each common term for only once in each
>>> step of optimization?
>>> Thank you.
>>> _______________________________________________
>>> Ipopt mailing list
>>> Ipopt at list.coin-or.org
>>> https://list.coin-or.org/mailman/listinfo/ipopt
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