How to pass preconditioner?

[cossio]

I found very little documentation about this.

https://nlopt.readthedocs.io/en/stable/NLopt_Reference/#preconditioning-with-approximate-hessians

But that only explains the C interface, and says that only LD_CCSAQ supports preconditioners.

How is the interface in Julia? Is it possible to pass a preconditioner to LBFGS? Can I pass a sparse Hessian approximation (e.g., a diagonal matrix)?

See also https://discourse.julialang.org/t/how-to-pass-a-preconditioner-to-nlopt/16361

[giadasp]

Dear Cossio, Did you solve your problem? I'm interested in this issue as well. Do you use JuMP or NLopt directly? I would like to give gradients to my objective function using the JuMP interface language but I'm not able to do it. Do you know how to do it?

Thank you for your attention

Giada

[cossio]

@giadasp I did not figure out how to pass a preconditioner to NLopt. But Optim has a documented API for this purpose, https://github.com/JuliaNLSolvers/Optim.jl,