Codecov Report

Merging #2961 (5059148) into master (8af2d3f) will increase coverage by 0.00%.
The diff coverage is n/a.

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  Coverage   96.13%   96.13%           
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  Files          32       32           
  Lines        4135     4141    +6     
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+ Hits         3975     3981    +6     
  Misses        160      160           

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I added a tutorial. Preview is here: https://jump.dev/JuMP.jl/previews/PR2961/tutorials/nonlinear/user_defined_hessians/

I think this is quite nice.

I made your changes.

Also: would it be possible to add a warning telling explicitly that sparse Hessian are not supported in user-registered function?

I don't know if we need to warn that something doesn't exist. There's no way for the user to specify a sparse hessian. I say we let this go out into the wild with little fanfare and see how people end up using it, and whether it makes a performance difference.

I'll plan to merge this in a few days unless anyone wants to review beforehand. At the JuMP side, this is a pretty minor change. It's also opt-in, so it shouldn't affect anyone.

I'd like to take a look at this, but it may be a couple days before I get a chance.

How's this now?