diff --git a/rehline/_class.py b/rehline/_class.py
index ed4c2a8..6bdcc28 100644
--- a/rehline/_class.py
+++ b/rehline/_class.py
@@ -5,8 +5,11 @@
 
 # License: MIT License
 
+import warnings
+
 import numpy as np
 from sklearn.base import BaseEstimator
+from sklearn.exceptions import ConvergenceWarning
 from sklearn.utils.validation import (_check_sample_weight, check_array,
                                       check_is_fitted, check_X_y)
 
@@ -167,6 +170,12 @@ def fit(self, X, sample_weight=None):
         self.dual_obj_ = result.dual_objfns
         self.primal_obj_ = result.primal_objfns
 
+        if self.n_iter_ >= self.max_iter:
+            warnings.warn(
+                "ReHLine failed to converge, increase the number of iterations: `max_iter`.",
+                ConvergenceWarning,
+            )
+
     def decision_function(self, X):
         """The decision function evaluated on the given dataset
 
@@ -363,6 +372,12 @@ def fit(self, X, y, sample_weight=None):
         self.dual_obj_ = result.dual_objfns
         self.primal_obj_ = result.primal_objfns
 
+        if self.n_iter_ >= self.max_iter:
+            warnings.warn(
+                "ReHLine failed to converge, increase the number of iterations: `max_iter`.",
+                ConvergenceWarning,
+            )
+
     def decision_function(self, X):
         """The decision function evaluated on the given dataset