Add a cython interface

[JasmineTC]

Hi,

Would it be possible to add cython support by letting us import the underlying C code from a python installation. Scipy offers something similar with it's scipy.linalg.cython_lapack which gives the user access to lapack routines without any python overhead (or safety checking) as compared to scipy.linalg.lapack. On a project I am working on we estimate this overhead to be upwards of 10% of runtime and limiting us in making further optimisations.

It is kind of possible to link the NLOPT header file from cython. But this is a massive headache as it depends on how NLOPT was installed and I think on the users OS.

[stevengj]

Realize that the nlopt python interface is generated via SWIG, so it's tricky to do something if SWIG does not support it.

Currently I think SWIG does not even install the header file, just the shared library (which is installed into the same path as the .py files I think?)? This is probably fixable.

[jschueller]

if there is any bottleneck it should be in func_python (in file nlopt-python.i) because that's where the c code queries the user function: it even uses numpy array api to pass efficiently input values, and for the output value its just float conversion, so I dont think it could be noticeably faster using cython, but I would be happy to be proven wrong.

[JasmineTC]

It's not so much about the overhead/speed of nlopt but being able to fully work in cython and reduce python-cython interactions. For instance roughly 1% of the runtime is just from the overhead of wrapping our cython function in python to pass to nlopt.