optimize: Constrained optimization
Created by: deasmhumhna
What are people's thoughts on how constrained optimization should be handled? I ask because I'm writing an implementation of the parametric simplex and affine scaling methods for linear optimization, and would be interested in writing an SQP method. I can imagine a interface similar to optimize, but with constraint values and Jacobians within the Location struct. I think this could cover the most popular algorithms for general constrained optimization. There should probably also be flags for when gradients and hessians are constant.