[Ipopt] Slow convergence for simple problem

[Andreas Waechter]

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)

Andreas



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
> *********************************************************************************** 
> The information contained herein is not guaranteed. This is not a 
> solicitation of any order to buy or sell. This communication, 
> including any attachments, is for the exclusive use of the intended 
> recipient(s) and/or the intended recipient's designees and may contain 
> proprietary, confidential and/or privileged information. Any use, 
> retention or dissemination by a person other than the intended 
> recipient is strictly prohibited. If you are not the intended 
> recipient or designee, please notify the sender immediately by return 
> e-mail and delete/destroy all copies of this communication. Any 
> opinions, conclusions or information herein not related to the 
> official business of Natixis and any of its affiliates shall be 
> understood as neither given nor endorsed by the company. Natixis and 
> its affiliates reserve the right to review all incoming and outgoing 
> e-mails.
>
>
> _______________________________________________
> Ipopt mailing list
> Ipopt at list.coin-or.org
> http://list.coin-or.org/mailman/listinfo/ipopt

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://list.coin-or.org/pipermail/ipopt/attachments/20110920/973f7fd9/attachment.html>