Add cmake build support

CMakeLists.txt

@@ -0,0 +1,87 @@
+cmake_minimum_required(VERSION 3.13)
+
+set(CMAKE_CXX_STANDARD 14)
+set(CMAKE_CXX_STANDARD_REQUIRED ON)
+
+project(optim LANGUAGES CXX)
+
+set(ARCHITECTURE "x86" CACHE STRING "CPU Architecture [x86, ARM]")
+set(OPENMP ON CACHE BOOL "Enable OpenMP parallelization")
+set(FP_TYPE "double" CACHE STRING "Default floating point type")
+set(LINALG_LIB "eigen" CACHE STRING "Choice of linear algebra library [arma, eigen]")
+set(CMAKE_BUILD_TYPE "Release" CACHE STRING "The build type")
+
+include(FetchContent)
+
+# Dependencies
+
+if(LINALG_LIB STREQUAL "arma")
+    find_package(Armadillo REQUIRED)
+else()
+    FetchContent_Declare(
+        Eigen
+        GIT_REPOSITORY https://gitlab.com/libeigen/eigen.git
+        GIT_TAG 3.4.0
+        GIT_SHALLOW TRUE
+        GIT_PROGRESS TRUE)
+    FetchContent_MakeAvailable(Eigen)
+endif()
+
+if(OPENMP)
+    find_package(OpenMP REQUIRED)
+endif()
+
+# Optimization flags
+
+if(CMAKE_BUILD_TYPE STREQUAL "Debug")
+    add_compile_options(-O0 -g)
+else() # default to release
+    add_compile_options(
+        -O3 -ffp-contract=fast -flto -DNDEBUG -fPIC 
+    )
+
+    if(ARCHITECTURE STREQUAL "ARM")
+        add_compile_options(-mcpu=native)
+    else() # default to x86
+        add_compile_options(-march=native)
+    endif()
+endif()
+
+# Other flags
+
+if(LINALG_LIB STREQUAL "arma")
+    add_compile_options(-DOPTIM_ENABLE_ARMA_WRAPPERS -DARMA_NO_DEBUG)
+else() # default to eigen
+    add_compile_options(-DOPTIM_ENABLE_EIGEN_WRAPPERS)
+endif()
+
+add_compile_options(-Wall -DOPTIM_FPN_TYPE=${FP_TYPE} -lblas -llapack)
+
+# Set up targets
+
+add_library(optim SHARED
+    src/line_search/more_thuente.cpp
+    src/unconstrained/de.cpp
+    src/unconstrained/nm.cpp
+    src/unconstrained/newton.cpp
+    src/unconstrained/cg.cpp
+    src/unconstrained/bfgs.cpp
+    src/unconstrained/de_prmm.cpp
+    src/unconstrained/pso.cpp
+    src/unconstrained/pso_dv.cpp
+    src/unconstrained/gd.cpp
+    src/unconstrained/lbfgs.cpp
+    src/zeros/broyden.cpp
+    src/zeros/broyden_df.cpp
+    src/constrained/sumt.cpp
+)
+target_include_directories(optim PUBLIC include)
+if(LINALG_LIB STREQUAL "arma")
+    target_include_directories(optim PRIVATE ${ARMADILLO_INCLUDE_DIRS})
+    target_link_libraries(optim PRIVATE ${ARMADILLO_LIBRARIES})
+else()
+    target_link_libraries(optim PRIVATE Eigen3::Eigen)
+endif()
+if(OPENMP)
+    target_link_libraries(optim PRIVATE OpenMP::OpenMP_CXX)
+endif()