Thanks Ruhollah,<div>I will go through this in detail and have asked MinGW guys for help. One </div><div class="gmail_quote"><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex;">
<div><a href="http://www.symscape.com/openfoam-on-windows" target="_blank">http://www.symscape.com/openfoam-on-windows</a><br></div>
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<div>in which peoples compile OpenFoam for native windows application (just know that compiling OpenFoam is in deed very difficult and tedious to in windows platform even by cygwin, so you can imagin their skill). I had already contact with them, they are kind and feedback you.</div>
<div></div></blockquote><div><br></div><div>I will go through this in detail and have asked MinGW guys for help. One of the reasons I am bothering you guys here is that I am desperate, and also if I can get these working then I can contribute the makefiles back, so wanted to do it in the way you guys want.<br>
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<div>PS: what is structure of your problem, you may use more simpler, compact (and probably efficient) nonlinear programming solver. Based on your speech (difficulty of derivative computation, noise, ...) i guess you do not have nonlinear constraints, probably just have box ones. I think power of IPOPT is more related to excellent treatment of nonlinear constraints. Also what is size of your problem? for small problems SQP type methods may works better, look at software by Prof. Klaus Schittkowski: <a href="http://www.math.uni-bayreuth.de/~kschittkowski/software.htm" target="_blank">http://www.math.uni-bayreuth.de/~kschittkowski/software.htm</a>, his codes are available upon request ...</div>
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<div></div></div></div></blockquote><div><br></div><div>I realize it is confusing... In economics we tend to have a bunch of nested optimizations. The top ones are tweaking parameters in expensive derivative free operations, using MLE or GMM, etc. and the inner ones are solving discrete dynamic programming problems which can become massive depending on the state space. I have a bunch of papers and models I need to write/program, so I am collecting library functions I will need for all of them at once. I will check out this SQP, but it may not work for some of the problems because we need lots of curvature. Also, several of the discrete dynamic programming problems I am solving involve mixed-integer so I will need to get BonMin or something similar up and running as well.</div>
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