title: Fast implementation of SLSQP for python
body: <p>I have a huge optimization problem with several thousand parameters. For smaller problems, I used SLSQP implemented in scipy, which works well for less than 2000 variables. However, it becomes very inefficient after that. I noticed that the optimization procedure uses only one virtual core instead of many. I have OpenBLAS installed on my machine, therefore, the typical matrix operations should utilize all cores. I suspect that implementation of SLSQP in scipy is very inefficient and do not use BLAS routines for that. I checked out the code in the Git repository and found function 'DOUBLE PRECISION FUNCTION ddot_sl(n,dx,incx,dy,incy)', which strengthen my concerns. 
  Could you suggest a faster SLSQP implementation than in scipy? </p>