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<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011>Hi Andreas,</SPAN></FONT></DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011></SPAN></FONT> </DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011>I checked the first derivatives using the derivative
checker, there are no errors. I did not code the second derivative, so IPOPT is
calculating it by itself. C is positive definite as I can solve the same problem
using a quadratic optimizer.</SPAN></FONT></DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011></SPAN></FONT> </DIV>
<DIV dir=ltr align=left><FONT color=#0000ff size=2 face=Arial><SPAN
class=066065218-20092011>Swagato</SPAN></FONT></DIV><BR>
<DIV dir=ltr lang=en-us class=OutlookMessageHeader align=left>
<HR tabIndex=-1>
<FONT size=2 face=Tahoma><B>From:</B> ipopt-bounces@list.coin-or.org
[mailto:ipopt-bounces@list.coin-or.org] <B>On Behalf Of </B>Andreas
Waechter<BR><B>Sent:</B> Tuesday, September 20, 2011 2:43 PM<BR><B>To:</B>
ipopt@list.coin-or.org<BR><B>Subject:</B> Re: [Ipopt] Slow convergence for
simple problem<BR></FONT><BR></DIV>
<DIV></DIV>Hi Swagato,<BR><BR>Did you verify that your coded the first and
second derivatives correctly, using the derivative checker? Is C positive
definite? (If not, Ipopt might something take a large number of iterations
getting out of a nonconvex region)<BR><BR>Andreas<BR><BR><BR><BR>On 09/20/2011
07:40 AM, Acharjee Swagato wrote:
<BLOCKQUOTE
cite=mid:20281_1316522435_4E7889C3_20281_268561_1_CE3C713AB6F7FA47A5392706780461D4195538FB31@MSNYMBX02.cib.net
type="cite">
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<DIV><FONT size=2 face=Arial><SPAN class=129073112-20092011>Hello IPOPT
team,</SPAN></FONT></DIV>
<DIV><FONT size=2 face=Arial><SPAN
class=129073112-20092011></SPAN></FONT> </DIV>
<DIV><FONT size=2 face=Arial><SPAN class=129073112-20092011>I am a new user of
IPOPT. I have a newbie question. I am trying to solve a simple mean
variance quadratic optimization problem of the form</SPAN></FONT></DIV>
<DIV><FONT size=2 face=Arial><SPAN
class=129073112-20092011></SPAN></FONT> </DIV>
<DIV><FONT size=2 face=Arial><SPAN class=129073112-20092011>min(X) - alpha*X +
XCX' </SPAN></FONT></DIV>
<DIV> </DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2 face=Arial>I have some bounds
on the variables and no other constraints. I am using the ma27 solver
with no hessian approximation.</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2 face=Arial>For a 2500
variable problem I do not see IPOPT converging for 10-15 minutes for 3000+
iterations using default tolerance. As a comparison I can solve the same
problem using the quadprog library in R in much less time. </FONT></SPAN><SPAN
class=129073112-20092011><FONT size=2 face=Arial>I am wondering what I am
doing wrong.</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2
face=Arial>Thanks,</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011><FONT size=2
face=Arial>Swagato</FONT></SPAN></DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
<DIV><SPAN class=129073112-20092011></SPAN> </DIV>
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