Nonconvex.jl interface

[sshin23]

Now that we have fully migrated to NLPModels, I think it is a great time to implement an interface to Nonconvex.jl. I think we can either create an extension package MadNLPNonconvex.jl in this repository or create a NonconvexMadNLP.jl repository in the JuliaNonconvex organization. I think the latter might be better for consistency with other solver interfaces to Nonconvex.jl. Any suggestions, @frapac @mohamed82008?

[mohdibntarek]

I vote for the second option. An example to follow is https://github.com/JuliaNonconvex/NonconvexPercival.jl/blob/master/src/NonconvexPercival.jl#L112 which hooks into ADNLPModels.jl.

[mohdibntarek]

Happy to invite you to the JuliaNonconvex org if you want to start working on this.

[sshin23]

@mohamed82008 Thanks for the suggestion. And yes, could you invite me and @frapac?

[mohdibntarek]

Done