Add a single call function for nonlinear problems

frapac / NonlinearOptInterface.jl

Nextgen nonlinear programming for MathOptInterface

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Add a single call function for nonlinear problems #1

Open frapac opened 3 years ago

frapac commented 3 years ago

Original idea: https://github.com/jump-dev/MathOptInterface.jl/issues/846#issuecomment-902207412

We should be able to specify a nonlinear problem quickly, simply as

model = MOI.nlpmodel(f, g!, h!,p, x_lb, x_ub, c_lb, c_ub)

and then build the corresponding MOI problem.

Questions:

[ ] Could we specify the linear/quadratic structures apart, using MatrixOptInterface.jl?

matbesancon commented 3 years ago

Should there also be an interface for joint calls returning a tuple (primal-value, gradient). This can be useful for instance when the objective is a large finite sum