I'm working with large scale constrained optimization problem. Some of my constraints can be non linear. Currently i'm using IPOPT. Quality is good by my Hessian computation too slow. It seems that i can implement hessian-vector problem much more effective. Unfortunately i cannot find how to use matrix free solver with IPOPT.

Can anyone suggest me good library which supports matrix free solver? Preferably in C/C++/fortran. Currently i only found SCIPY trust-constr solver but it's purely python.



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