I need Convert to find the Hessian in an optimal point of a model. The manual says the following option statement should invoke the solver convert: option modeltype=convert;
but my GAMS system (31.2.0 r8ba6aed WEX-WEI x86 64bit/MS Windows) says that “modeltype” is an invalid option.

Previously I started convert via the solve statement like: SOLVE NLA MAXIMIZING LH USING CONVERT;
but that is not working either.

You don’t say what the model type is but since you mention a Hessian I’ll guess you’re solving an NLP. In this case, your can select the convert solver by the statement

option NLP = convert;

in your GAMS code. Assuming my guess on the model type was correct, you then solve with