[Ipopt] Slow convergence for simple problem

Andreas Waechter awaechter.iems at gmail.com
Tue Sep 20 14:43:14 EDT 2011

Hi Swagato,

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)


On 09/20/2011 07:40 AM, Acharjee Swagato wrote:
> 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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