[Ipopt] Slow convergence for simple problem

[Acharjee Swagato]

Hello IPOPT team,

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

min(X) - alpha*X + XCX'

I have some bounds on the variables and no other constraints. I am using the ma27 solver with no hessian approximation.

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. I am wondering what I am doing wrong.

Thanks,
Swagato






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