When using Ipopt through JuMP, I find myself unable to set hessian_approximation=“exact” (i.e. to tell Ipopt that I will give it an exact hessian). When I try, I get an error to the effect of “Exception message: eval_h is called but has not been implemented.” This suggests that JuMP is not passing the Hessian when asked. Am I doing something wrong, or am I just mistaken in my understanding that JuMP uses ReverseDiff to compute exact Hessians?
Thanks in advance.