add rosenbrock test function

Author: MaxenceGollier

test/utils.jl

@@ -31,4 +31,27 @@ macro wrappedallocs(expr)
   end
 end
 
-# Construct the brock-rosenberg problem.
+# Construct the rosenbrock problem.
+
+function rosenbrock_f(x::Vector{T}) where{T <: Real}
+  100*(x[2]-x[1]^2)^2 + (1-x[1])^2
+end
+
+function rosenbrock_grad!(gx::Vector{T}, x::Vector{T}) where{T <: Real}
+  gx[1] = -400*x[1]*(x[2]-x[1]^2)-2*(1-x[1])
+  gx[2] = 200*(x[2]-x[1]^2)
+end
+
+function rosenbrock_hv!(hv::Vector{T}, x::Vector{T}, v::Vector{T}; obj_weight = 1.0) where{T}
+  hv[1] = (1200*x[1]^2-400*x[2]+2)*v[1] -400*x[1]*v[2]
+  hv[2] = -400*x[1]*v[1] + 200*v[2]
+end
+
+function construct_rosenbrock_nlp()
+  return NLPModel(
+    zeros(2),
+    rosenbrock_f,
+    grad = rosenbrock_grad!,
+    hprod = rosenbrock_hv!
+  )
+end