I’m in a good position to know that a free and positive publicity is always appreciated for open source projects. I finished the implementation of exact Hessian support in ModelPredictiveControl.jl. I just tested UnoSolver.jl with filtersqp, a multiple shooting transcription, and exact Hessian computed by sparse ForwardDiff.jl on the inverted pendulum case study (unstable system + highly nonlinear/nonconvex). It’s about 2.1 times faster than Ipopt.jl, all other things being equal. Excellent work @cvanaret and @amontoison ! ![]()
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The L-BFGS will be a nice addition in the case where Hessian is too expensive to compute. Even in the small-in-size case study above (in which sparse ForwardDiff.jl is typically well-suited), a fair amount of time is spent in the Hessian evaluation.