Add an appveyor Windows CI build.

appveyor.yml

@@ -0,0 +1,68 @@
+environment:
+
+  global:
+    # SDK v7.0 MSVC Express 2008's SetEnv.cmd script will fail if the
+    # /E:ON and /V:ON options are not enabled in the batch script intepreter
+    # See: http://stackoverflow.com/a/13751649/163740
+    CMD_IN_ENV: "cmd /E:ON /V:ON /C .\\appveyor\\run_with_env.cmd"
+    IPOPTDIR: "Ipopt-3.11.0-Win32-Win64-dll"
+
+  matrix:
+    - PYTHON: "C:\\Miniconda-x64"
+      PYTHON_VERSION: "2.7"
+      PYTHON_ARCH: "64"
+      CONDA_PY: "27"
+
+    - PYTHON: "C:\\Miniconda35-x64"
+      PYTHON_VERSION: "3.5"
+      PYTHON_ARCH: "64"
+      CONDA_PY: "35"
+
+    - PYTHON: "C:\\Miniconda36-x64"
+      PYTHON_VERSION: "3.6"
+      PYTHON_ARCH: "64"
+      CONDA_PY: "36"
+
+    - PYTHON: "C:\\Miniconda37-x64"
+      PYTHON_VERSION: "3.7"
+      PYTHON_ARCH: "64"
+      CONDA_PY: "37"
+
+install:
+  - ECHO "Filesystem root:"
+  - ps: "ls \"C:/\""
+
+  - ECHO "Installed SDKs:"
+  - ps: "ls \"C:/Program Files/Microsoft SDKs/Windows\""
+
+  # This upates conda and installs the necessary packages.
+  - "%PYTHON%\\Scripts\\conda.exe update --yes conda"
+  - "%PYTHON%\\Scripts\\conda.exe config --prepend channels conda-forge"
+  - '%PYTHON%\\Scripts\\conda.exe install --yes numpy cython future six setuptools sphinx numpydoc mkl'
+  - "%PYTHON%\\Scripts\\conda.exe update -y --all"
+  - "%PYTHON%\\Scripts\\conda.exe info"
+  - "%PYTHON%\\Scripts\\conda.exe list"
+
+  # This downloads and extracts a precomplied IPOPT for Windows.
+  - ps: Start-FileDownload 'https://www.coin-or.org/download/binary/Ipopt/Ipopt-3.11.0-Win32-Win64-dll.7z'
+  - 7z x Ipopt-3.11.0-Win32-Win64-dll.7z
+
+  # Prepend newly installed Python to the PATH of this build (this cannot be
+  # done from inside the powershell script as it would require to restart the
+  # parent CMD process).
+  - "SET PATH=%PYTHON%;%PYTHON%\\Scripts;%PATH%"
+
+  # Check that we have the expected version and architecture for Python
+  - "python --version"
+  - "python -c \"import struct; print(struct.calcsize('P') * 8)\""
+
+build: false
+
+test_script:
+  - "%CMD_IN_ENV% python setup.py install"
+  - '%CMD_IN_ENV% python -c "import ipopt"'
+  - "%CMD_IN_ENV% python test/examplehs071.py"
+  - "%CMD_IN_ENV% python test/exception_handling.py"
+  - "%CMD_IN_ENV% python test/lasso.py"
+  - "conda.exe install --yes scipy"
+  - "%CMD_IN_ENV% python test/rosen.py"

setup.py

@@ -68,10 +68,17 @@ def pkgconfig(*packages, **kw):
 
     if sys.platform == 'win32':
 
-        IPOPT_INCLUDE_DIRS = ['include/coin', np.get_include()]
+        if "IPOPTDIR" in os.environ:
+            ipoptdir = os.environ["IPOPTDIR"]
+        else:
+            ipoptdir = ''
+
+        IPOPT_INCLUDE_DIRS = [os.path.join(ipoptdir, 'include', 'coin'),
+                              np.get_include()]
         IPOPT_LIBS = ['Ipopt-vc8', 'IpOptFSS', 'IpOpt-vc10']
-        IPOPT_LIB_DIRS = ['lib/x64/ReleaseMKL']
-        IPOPT_DLL = ['IpOptFSS.dll', 'Ipopt-vc8.dll', 'IpOpt-vc10.dll', 'libiomp5md.dll', 'msvcp100.dll', 'msvcr100.dll']
+        IPOPT_LIB_DIRS = [os.path.join(ipoptdir, 'lib', 'x64', 'ReleaseMKL')]
+        IPOPT_DLL = ['IpOptFSS.dll', 'Ipopt-vc8.dll', 'IpOpt-vc10.dll',
+                     'libiomp5md.dll', 'msvcp100.dll', 'msvcr100.dll']
 
         EXT_MODULES = [
             Extension(