[Ipopt] Warm Start Interface for C++

[Pranav Maheshwari]

​​
Hell0,

I am exploring the usage of warm start using C++ and upon going through the
code I'm a bit lost as to what exactly needs to be done to make it work. If
I use the simple Ipopt::solve method,
https://www.coin-or.org/CppAD/Doc/ipopt_solve.htm, and set option
warm_start_initialization to yes that doesn't work because
Ipopt::solve_callback doesn't support it. Am I expected to write my own
method for solve and solve callback that support warm start and will
inherit from TNLP?
https://www.coin-or.org/Ipopt/documentation/node23.html#SECTION00053410000000000000
Is that the only way?

Thanks,
Pranav
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