The usual problem is the initial surge to charge up the caps is high enough that the power supply senses a short circuit in the output, and shuts down. Generally this can be avoided by placing a small high current inductor between the cap and the supply. A few millihenries is usually enough, and once things stabilize the small inductor no longer has any real effect. The inductor significantly reduces the inrush current to charge the caps, and that reduction is enough to prevent the supply from sensing a short circuit. This is often done in high power supplies to protect the rectifiers from damage during the initial start.