FWPH does not warn that it can't linearize the objective

[Matthew-Signorotti]

On the latest development commit, I expect running

mpiexec \
    --mca orte_base_help_aggregate 0 \
    --mca mpi_warn_on_fork 0 \
    --np 2 \
    python -m mpi4py farmer_cylinders.py \
        --solver-name=glpk \
        --default-rho 1 \
        --num-scens 3 \
        --linearize-proximal-terms \
        --fwph

should result in some warning that FWPH cannot linearize the objective. FWPH._options_checks_fw can raise such warnings. Instead, optimization proceeds without warning and fails as the solver encounters the quadratic objective. The options created for the FWPH by the vanilla shared_options helper do not include the argument --linearize-proximal-terms which was passed.

[bknueven]

FWPH should have mip_solver_name and qp_solver_name as options, as opposed to just solvename like it has now.

Then you could use glpk/cbc with ipopt for FWPH.