I found very scarce documentation about this.
This only describes the C interface, and it seems to only support the method
So how can I pass a preconditioner in Julia? Is it possible to pass a preconditioner to other methods (in particular LBFGS)? Can I pass a sparse Hessian approximation (e.g., a diagonal matrix)?
I also opened a Github issue as a feature request: https://github.com/JuliaOpt/NLopt.jl/issues/122.