Add Hessian Support to IFOPT #104
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Computing hessian requires large memory and long duration when there are many constraints and variables. Allow the user to skip constraint that has 0 hessian value can improve performance.
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Hi,
I’ve been working on a trajectory optimization project and came across this great interface for the IPOPT library. In my project, I needed custom Hessian functions, so I’ve added Hessian support to the IFOPT project.
There are some design choices I made that I’m not entirely sure align with the project’s philosophy, so I’m open to discussions on those. Specifically, the Hessian matrix interface (FillHessianTriplets) exposes all variable sets because it's difficult to define a pair of variables for the local Hessian matrix, as is done with FillJacobianBlock. This is because Jacobians focus on one variable set at a time, whereas Hessians involve cross-derivatives between different sets.
The decisions I made for the Hessian interface are mostly prioritized for time and space efficiency.
I’ve tested the interface with my own application, and I plan to create a few examples using more complex Hessians based on the original IPOPT examples.
This is my first time contributing to an open-source project, so I hope I’ve done everything correctly!
Issue link
#41
TODO