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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 face="Arial" size="2"><span class="129073112-20092011">Hello
IPOPT team,</span></font></div>
<div><font face="Arial" size="2"><span class="129073112-20092011"></span></font> </div>
<div><font face="Arial" size="2"><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 face="Arial" size="2"><span class="129073112-20092011"></span></font> </div>
<div><font face="Arial" size="2"><span class="129073112-20092011">min(X)
- alpha*X + XCX' </span></font></div>
<div> </div>
<div><span class="129073112-20092011"><font face="Arial" size="2">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 face="Arial" size="2">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 face="Arial" size="2">I am
wondering what I am doing wrong.</font></span></div>
<div><span class="129073112-20092011"></span> </div>
<div><span class="129073112-20092011"><font face="Arial" size="2">Thanks,</font></span></div>
<div><span class="129073112-20092011"><font face="Arial" size="2">Swagato</font></span></div>
<div><span class="129073112-20092011"></span> </div>
<div><span class="129073112-20092011"></span> </div>
<div> </div>
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