Wrap CALIPSO.jl

[mohamed82008]

https://github.com/thowell/CALIPSO.jl

[thowell]

let's do this. let me know how I can help.

[mohamed82008]

Hi @thowell, thanks for the comment. Looks like CALIPSO follows a similar style to Ipopt in that there is a problem type with all the functions. https://github.com/JuliaNonconvex/NonconvexIpopt.jl would be a good reference to define the ProblemMethods instance using Zygote and ForwardDiff which is what we use in Nonconvex. If you can give it a shot, I can help along the way or we can arrange a call to share information.