Add MOI wrapper

JuliaNLSolvers · Jun 20, 2021 · 9ecf63f · 9ecf63f
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diff --git a/Project.toml b/Project.toml
@@ -7,6 +7,7 @@ Compat = "34da2185-b29b-5c13-b0c7-acf172513d20"
 FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
 LineSearches = "d3d80556-e9d4-5f37-9878-2ab0fcc64255"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
 NLSolversBase = "d41bc354-129a-5804-8e4c-c37616107c6c"
 NaNMath = "77ba4419-2d1f-58cd-9bb1-8ffee604a2e3"
 Parameters = "d96e819e-fc66-5662-9728-84c9c7592b0a"
@@ -19,6 +20,7 @@ StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 Compat = "3.2.0, 3.3.0, 3.4.0, 3.5.0, 3.6.0"
 FillArrays = "0.6.2, 0.7, 0.8, 0.9, 0.10, 0.11"
 LineSearches = "7.0.1"
+MathOptInterface = "0.9.22"
 NLSolversBase = "7.8.0"
 NaNMath = "0.3.2"
 Parameters = "0.10, 0.11, 0.12"

diff --git a/README.md b/README.md
@@ -138,6 +138,24 @@ If you use `Optim.jl` in your work, please cite the following.
 }
 ```
 
+# Use with JuMP
+
+We can use Optim.jl with [JuMP.jl](https://github.com/jump-dev/JuMP.jl).
+
+This can be done using the `Optim.Optimizer` object. Here is how to create a JuMP
+model that uses Optim as the solver to minimize the rosenbrock function.
+
+```julia
+using JuMP, Optim
+
+model = Model(Optim.Optimizer)
+set_optimizer_attribute(model, "method", BFGS())
+
+@variable(model, x[1:2])
+@NLobjective(model, (1.0 - x[1])^2 + 100.0 * (x[2] - x[1]^2)^2)
+optimize!(model)
+```
+
 [docs-latest-img]: https://img.shields.io/badge/docs-latest-blue.svg
 [docs-latest-url]: https://julianlsolvers.github.io/Optim.jl/latest