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/