Uno
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Interface to HiGHS as a QP solver
Add an interface to HiGHS as a QP solver for positive semi-definite Hessians. We'll then be able to run Uno's SQP method with convexification.
It was interfaced as LP solver in https://github.com/cvanaret/Uno/issues/72. For QPs, it's a bit trickier because HiGHS expects a compressed sparse Hessian in one of the following shapes:
- column-wise lower triangular;
- row-wise upper triangular.
At the moment, the CSC sparse format in Uno is only column-wise upper triangular (a la ASL). I need to write the transpose using @amontoison's function.