title: Scipy.optimize minimize is taking too long
body: <p>I am running a constrained optimization problem with about 1500 variables and it is taking over 30 minutes to run....</p>
  
  <p>If I reduce the tolerance to 1 the minimization will complete in about five minutes, but that doesn't seem like a good way to speed things up. </p>
  
  <pre><code>from scipy.optimize import minimize
  
  results = minimize(objFun, initialVals, method='SLSQP', bounds = bnds, constraints=cons, tol = toler)
  
  print(results)
  
  fun: -868.72033130318198
  jac: array([ 0.,  0.,  0., ...,  0.,  0.,  0.])
  message: 'Optimization terminated successfully.'
  nfev: 1459
  nit: 1
  njev: 1
  status: 0
  success: True
  x: array([ 0.,  0.,  0., ...,  1.,  1.,  1.])
  </code></pre>
  
  <p>Any suggestions would be appreciated. </p>