Q: I recently ran a small program with two nonlinear constraints, but it terminated before it converged at 200 major iterations, even though I set options iterlim = 2000. The reason for termination was “major iterations terminated before convergence/ Exit too many iterations”. The problem was infeasible when it exited.

MINOS uses two iteration counts, Minor (or inner iterations) and Major (or outer iterations corresponding to linearizations of the constraints). The Option Iterlim limit is related to Minor Iterations. The limit on Major iterations can only be set in a solver options file; the default limit is 200.

You will need a MINOS.OPT file in which you have the line

  Major Iterations xxxx

and you must tell GAMS to use the file by adding the line

 <modelname>.optfile = 1;

before the SOLVE statement, where <modelname> is the name of your model.

If you need more than 200 major iterations for a model with two nonlinear constraints then it is likely that:

• the model is VERY nonlinear or
• you have very bad initial values or
• the model is poorly scaled.