Get diagonal entries of the Hessian in CasADi

gistfile1.cpp

#include <iostream>
#include <fstream>
#include <ctime>
#include <iomanip>
#include <symbolic/casadi.hpp>
#include <symbolic/stl_vector_tools.hpp>

using namespace CasADi;
using namespace std;

void generateCode(FX fcn, const std::string& name){
  cout << "Generating code for " << name << endl;

  // Generate C code
  fcn.generateCode(name + ".c");
}

int main(){

  // Optimization variables
  SXMatrix x = ssym("x",3);

  // Objective
  SXMatrix f = x[0]*x[0] + x[1]*x[1] + x[0]*x[1]*x[2];
  cout << "f = " << f << endl;

  // Gradient of the objective
  SXMatrix grad_f = gradient(f,x);
  cout << "grad_f = " << endl;
  grad_f.printDense();

  // Hessian of the objective
  SXMatrix hess_f = hessian(f,x);
  cout << "hess_f = " << endl;
  hess_f.printDense();
  
  // Remove off-diagonal entries
  SXMatrix diag_hess_f = diag(diag(hess_f));
  cout << "diag_hess_f = " << endl;
  diag_hess_f.printDense();

  // Create functions
  SXFunction f_fcn(x,f);
  f_fcn.init();
  SXFunction grad_f_fcn(x,grad_f);
  grad_f_fcn.init();
  SXFunction hess_f_fcn(x,hess_f);
  hess_f_fcn.init();
  
  // Generate code
  generateCode(f_fcn,"nlp");
  generateCode(grad_f_fcn,"grad_f");
  generateCode(hess_f_fcn,"hess_f");
  
  return 0;
}