XKTR_PARAM_HESSOPT

Specifies how to compute the (approximate) Hessian of the Lagrangian.

Integer

1	(exact) User provides a routine for computing the exact Hessian.
2	(bfgs) Knitro computes a (dense) quasi-Newton BFGS Hessian.
3	(sr1) Knitro computes a (dense) quasi-Newton SR1 Hessian.
4	(finite_diff) Knitro computes Hessian-vector products using finite-differences.
5	(product) User provides a routine to compute the Hessian-vector products.
6	(lbfgs) Knitro computes a limited-memory quasi-Newton BFGS Hessian (its size is determined by the option lmsize).

1

Options hessopt = 4 and hessopt = 5 are not available with the Interior/Direct algorithm. Knitro usually performs best when the user provides exact Hessians (hessopt = 1) or exact Hessian-vector products (hessopt = 5). If neither can be provided but exact gradients are available (i.e., gradopt = 1), then hessopt = 4 is recommended. This option is comparable in terms of robustness to the exact Hessian option and typically not much slower in terms of time, provided that gradient evaluations are not a dominant cost. If exact gradients cannot be provided, then one of the quasi-Newton options is preferred. Options hessopt = 2 and hessopt = 3 are only recommended for small problems (n ≤ 1000) since they require working with a dense Hessian approximation. Option hessopt = 6 should be used for large problems.