This message appears if you’ve chosen “Analytic 2nd Derivatives” for the Second Derivatives option (see “Knitro Solver Options” in the chapter “Solver Options”), but the PSI Interpreter is unable to compute analytic second derivatives for your problem functions.  This may be due to use of a nonsmooth function, or a function whose first derivative is nonsmooth, in your objective or constraints.  You may be able to proceed by choosing “Analytic 1st Derivatives” or “Finite Differences” for the Second Derivatives option.  In Solver SDK Platform, you do this by setting the EngineParam "SecondDerivatives" parameter.  But you should also consider changing the formulas in your model to eliminate functions whose second derivatives are not defined.