[Ipopt] IPOPT with CPLEX?

[Vatsal Bhatt]

Many thanks to the developers of IPOPT for large scale NLPs and making it
opensource.

Since our MARKAL-MACRO energy systems analysis model had a problem running
with other solvers, GAMS suggested us to use IPOPT. It handles our model
well, we are happy that atleast it runs...

Since our model has several thousand equations with several hundred thousand
non-zeros, it takes nearly an hour for a run. It uses MUMPS as a linear
solver and the documentation has suggestions on using PARDISO.

We use CPLEX for our LP based MARKAL, which solves the same system in LP
within 5 minutes (without 5 macro economic equations).

Would it be possible for us to use CPLEX instead of MUMPS within IPOPT?

Thanks in advance for your help.

Vatsal
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