CUTEST.jl benchmark wrappers

[ChrisRackauckas]

https://github.com/JuliaSmoothOptimizers/CUTEst.jl is a set of nonlinear optimization problems. We should use those to setup benchmarks between the optimizers, splitting between constrained and unconstrained and using as many optimizers as possible work-precsion.

[alonsoC1s]

I'm in the process of familiarizing myself with the structure of the involved packages and would like to see if I'm getting it so far

If I understand correctly, the first step to solve this issue would be to define a way to convert from the NLPModel instances that are currently used in CUTEst.jl to a subtype of SciMLBase.OptimizationProblem. Is there a relevant issue in the CUTEst.jl repo so that I can start a PR over there?

[ChrisRackauckas]

There is not an issue I know of in that repo. It would probably make sense to make an NLPModels extension to Optimization.jl

[alonsoC1s]

I agree, it makes sense to handle it inside the SciML umbrella. Should I open an issue and ask for comments on the Optimization.jl repo then?

[AJ0070]

@ChrisRackauckas Can you reopen this?

[ChrisRackauckas]

#1179
#1283
#1323
#1036

is the stuff to look into. Lots of work got done but there was never a version that didn't just stall on the machine.

[AJ0070]

Thanks for mentioning these. It will be very helpful to kick-start the work.