Hook sciml_train into MOI

[ChrisRackauckas]

Example of how to do this: https://github.com/JuliaOpt/MathOptInterface.jl/blob/cdf87e9376a086fb80ea731cece453f5a92878ca/src/Test/nlp.jl#L29

This would give us compatibility with Knitro and IPOPT

[abhigupta768]

WIP at #37

[ChrisRackauckas]

Finished by #142