[Ipopt] Slow convergence for simple problem

[Acharjee Swagato]

Hi Andreas,

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.

Swagato

________________________________
From: ipopt-bounces at list.coin-or.org [mailto:ipopt-bounces at list.coin-or.org] On Behalf Of Andreas Waechter
Sent: Tuesday, September 20, 2011 2:43 PM
To: ipopt at list.coin-or.org
Subject: Re: [Ipopt] Slow convergence for simple problem

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



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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. 

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