Implement a method to check derivatives

[gjkennedy]

It would be handy to implement a method to check derivatives directly in pyOptSparse.

SNOPT implements a derivative checker, but not everyone has access to this optimizer. A simple check would be very handy.

Potential solution

This could be implemented as part of the pyOpt_Optimization class.

[JustinSGray]

OpenMDAO has a total derivative checker. You could borrow the code from that.