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I'm looking for a sparse nonlinear optimization library usable from C++ that satisfies the following requirements:

  • Opensource: LGPL or a less restrictive licence (LGPL, MIT, BSD, Cecill, Apache, ...)
  • Able to handle linear objectives and quadratic constraints.
  • Sparse: it should not require the optimization parameters to be contiguous in memory (ie dense), i.e. the user should be able to provide an array of pointers to each parameter.
  • Multi-platform (Windows, Linux, OSX)

The closest is found is HQP, but unfortunately it is Linux only, and uses old tcl code :( http://hqp.sourceforge.net/

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