I think it is too expensive to store these. https://github.com/MaxenceGollier/Penelopt.jl/blob/38e53138e1e456c9a4c742b7a097b4fa44c2b750/src/types/Watchdog.jl#L6-L7 I suggest to keep all other fields intact but to recompute the Jacobian and hessian of lagrangian when the watchdog falls back.
I think it is too expensive to store these.
Penelopt.jl/src/types/Watchdog.jl
Lines 6 to 7 in 38e5313
I suggest to keep all other fields intact but to recompute the Jacobian and hessian of lagrangian when the watchdog falls back.