python - CVXPY 在基本二次问题上随机失败

Question

我发现 CVXPY 随机失败并出现以下错误：

ArpackError: ARPACK error 3: No shifts could be applied during a cycle of the Implicitly restarted 
Arnoldi iteration. One possibility is to increase the size of NCV relative to NEV. 

下面的代码是一个最小示例，它只是尝试在没有约束、单位相关矩阵和正态分布均值向量的情况下进行均值方差优化。大约每千次运行失败一次。我要求它使用哪个求解器似乎并不重要，这让我认为它无法设置问题？

import cvxpy as cp
import numpy as np

n = 199

np.random.seed(100)
mu = np.random.normal(size = n)

C = np.eye(n)

for repeat in range(1000):

    x = cp.Variable(n)

    mean = x.T @ mu
    variance = cp.quad_form(x, C)

    objective = cp.Maximize(mean - variance)
    constraints = []
    prob = cp.Problem(objective, constraints)

    result = prob.solve()
    print(repeat, end = " ")